Shaping tail dependencies by nesting box copulas

Christoph Hummel

Papers from arXiv.org

Abstract: We introduce a family of copulas which are locally piecewise uniform in the interior of the unit cube of any given dimension. Within that family, the simultaneous control of tail dependencies of all projections to faces of the cube is possible and we give an efficient sampling algorithm. The combination of these two properties may be appealing to risk modellers.

Date: 2009-06, Revised 2009-08
References: View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://arxiv.org/pdf/0906.4853 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:0906.4853

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().