Exploring the ? copula construction method for Archimedean copulas: Discussion of three ? types
AbstractWe introduce and discuss a new parametric copula builder which is named the “? construction method”. The methodology is explained and illustrated using 3 types of ? functions. It shows that the ? method has strong visual advantages for recognizing key dependence characteristics and importing them into the copula model. Furthermore, the ? method facilitates the representation of a copula family as a collection of comparable test spaces as defined in Michiels and De Schepper (2008). As such, the modeling capacity of these families is discussed in a clear way.
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Bibliographic InfoPaper provided by University of Antwerp, Faculty of Applied Economics in its series Working Papers with number 2008021.
Length: 32 pages
Date of creation: Dec 2008
Date of revision:
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Web page: https://www.uantwerp.be/en/faculties/applied-economic-sciences/
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Copula; Kendall’s ?; Multiparametric Archimedean copula family; Tail dependence;
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