MAKING COPULAS UNDER UNCERTAINTY

C. Garcia-Garcia, J. M. Herrerias-Velasco and Juan Trinidad-Segovia ()
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C. Garcia-Garcia: Department of Quantitative Methods in Economics, University of Granada, Campus de Cartuja s/n., Granada, 18071, Spain
J. M. Herrerias-Velasco: Department of Quantitative Methods in Economics, University of Granada, Campus de Cartuja s/n., Granada, 18071, Spain

Chapter 2 in Distribution Models Theory, 2006, pp 27-53 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThis paper is based in the MTDF methodology, which lies in obtaining the value of an asset from value of a specific index (Ballestero, 1973). The topics of this paper are to apply this methodology in the case of two indexes under uncertainty, the construction of a copula FGM using marginal TSP given the classical values (a, m, b) and the application in an empirical case. Under an uncertainty environment a high correlation exists between the indexes, which imply the impossibility to apply the FGM copula that is restricted to the weak correlations case. This article overcomes this disadvantage presenting an alternative that later is applied in a practical case.

Keywords: Inference; Uncertainty; Copulas; Stochastic Dominance; Bayesian Techniques; Hierarchical Bayesian Model; Poisson-Gamma-Gamma Model; Experience Rating; Specific Fecundity Rates; Fecundity Curves; Topp and Leone Distributions; Waring Distribution; Factorial; Cluster; Discrimination Analyses; Survival Functions (search for similar items in EconPapers)
JEL-codes: C5 C7 (search for similar items in EconPapers)
Date: 2006
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