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Vector copulas

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  • Fan, Yanqin
  • Henry, Marc

Abstract

This paper introduces vector copulas associated with multivariate distributions with given multivariate marginals, based on the theory of measure transportation, and establishes a vector version of Sklar’s theorem. The latter provides a theoretical justification for the use of vector copulas to characterize nonlinear or rank dependence between a finite number of random vectors (robust to within vector dependence), and to construct multivariate distributions with any given non-overlapping multivariate marginals. We construct Elliptical and Kendall families of vector copulas, derive their densities, and present algorithms to generate data from them. The use of vector copulas is illustrated with a stylized analysis of international financial contagion.

Suggested Citation

  • Fan, Yanqin & Henry, Marc, 2023. "Vector copulas," Journal of Econometrics, Elsevier, vol. 234(1), pages 128-150.
    • Handle: RePEc:eee:econom:v:234:y:2023:i:1:p:128-150
    DOI: 10.1016/j.jeconom.2021.11.012
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    More about this item

    Keywords

    Measure transportation; Vector ranks; Vector copulas; Elliptical vector copulas; Kendall vector copulas; Financial contagion;
    All these keywords.

    JEL classification:

    • C18 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Methodolical Issues: General
    • C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

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