Constructing and generalizing multivariate copulas: a generalizing approach

Matthias J. Fischer and Christian Köck

No 80/2007, Discussion Papers from Friedrich-Alexander University Erlangen-Nuremberg, Chair of Statistics and Econometrics

Abstract: Recently, Liebscher (2006) introduced a general construction scheme of d-variate copulas which generalizes the Archimedean family. Similarly, Morillas (2005) proposed a method to obtain a variety of new copulas from a given d-copula. Both approaches coincide only for the particular subclass of Archimedean copulas. Within this work we present a unifying framework which includes both Liebscher and Morillas copulas as special cases. Above that, more general copulas may be constructed. First examples are given.

Keywords: construction of d-variate copulas; Archimedean copulas (search for similar items in EconPapers)
Date: 2007
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