Construction of asymmetric multivariate copulas

Eckhard Liebscher

Journal of Multivariate Analysis, 2008, vol. 99, issue 10, 2234-2250

Abstract: In this paper we introduce two methods for the construction of asymmetric multivariate copulas. The first is connected with products of copulas. The second approach generalises the Archimedean copulas. The resulting copulas are asymmetric and may have more than two parameters in contrast to most of the parametric families of copulas described in the literature. We study the properties of the proposed families of copulas such as the dependence of two components (Kendall's tau, tail dependence), marginal distributions and the generation of random variates.

Keywords: 62H20; Copula; Archimedean; copula; Tail; dependence (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (57)

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