Multivariate dependence modeling using copulas

Marta Cardin and Maddalena Manzi ()
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Maddalena Manzi: Department of Mathematics, University of Padua

No 183, Working Papers from Department of Applied Mathematics, Università Ca' Foscari Venezia

Abstract: There exist necessary and sufficient conditions on the generating functions of the FGM family, in order to obtain various dependence properties. We present multivariate generalizations of this class studying symmetry and dependence concepts, measuring the dependence among the components of each class and providing several examples.

Keywords: copula; density function; FGM copulas; dependence; symmetry (search for similar items in EconPapers)
JEL-codes: C02 (search for similar items in EconPapers)
Pages: 15 pages
Date: 2008-11
New Economics Papers: this item is included in nep-ecm
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