Joint characteristic functions construction via copulas
AbstractWhen modelling dependent risks it is important to be able to generate joint distributions with given marginals. One of the ways which may be useful in connection with using the Fast Fourier Transform is to construct joint characteristic functions from marginal characteristic functions. In this paper a class of n-dimensional continuous copulas is presented which in turn lead to a simple construction of joint characteristic functions with given marginal characteristic functions. Bounds on various measures of correlation are also given.
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Bibliographic InfoArticle provided by Elsevier in its journal Insurance: Mathematics and Economics.
Volume (Year): 47 (2010)
Issue (Month): 2 (October)
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Web page: http://www.elsevier.com/locate/inca/505554
IM10 Copulas Distortion functions Joint distributions with given marginals Characteristic functions;
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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Rodríguez-Lallena, José Antonio & Úbeda-Flores, Manuel, 2004. "A new class of bivariate copulas," Statistics & Probability Letters, Elsevier, vol. 66(3), pages 315-325, February.
- Cécile Amblard & Stéphane Girard, 2009. "A new extension of bivariate FGM copulas," Metrika, Springer, vol. 70(1), pages 1-17, June.
- Lynn Wirch, Julia & Hardy, Mary R., 1999. "A synthesis of risk measures for capital adequacy," Insurance: Mathematics and Economics, Elsevier, vol. 25(3), pages 337-347, December.
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