We introduce and discuss a new parametric copula builder which is named the “Lambda construction method”. The methodology is explained and illustrated using 3 types of Lambda functions. It shows that the Lambda method has strong visual advantages for recognizing key dependence characteristics and importing them into the copula model. Furthermore, the Lambda 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.
Download Info
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
page. Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
Publisher Info
Paper provided by University of Antwerp, Faculty of Applied Economics in its series Working Papers with number
2008021.