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Making Copulas Under Uncertainty

In: Distribution Models Theory

Author

Listed:
  • 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)

  • J. E. TRINIDAD-SEGOVIA

    (Department of Business Administration, University of Almería, Ctra. Sacramento s/n, La Cañada de San Urbano, 04120 Almería, Spain)

Abstract

This 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.

Suggested Citation

  • C. Garcia-Garcia & J. M. Herrerias-Velasco & J. E. Trinidad-Segovia, 2006. "Making Copulas Under Uncertainty," World Scientific Book Chapters, in: Rafael Herrerías Pleguezuelo & José Callejón Céspedes & José Manuel Herrerías Velasco (ed.), Distribution Models Theory, chapter 2, pages 27-53, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789812772992_0002
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    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;
    All these keywords.

    JEL classification:

    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • C7 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory

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