How to improve the fit of Archimedean copulas by means of transforms

Frederik Michiels () and Ann De Schepper

Statistical Papers, 2012, vol. 53, issue 2, 345-355

Keywords: Copula; Kendall’s tau; Archimedean copula; Tail dependence coefficient; Transform; 62H20; 62H12; 62G32 (search for similar items in EconPapers)
Date: 2012
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DOI: 10.1007/s00362-010-0341-6

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