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A Compendium of Copulas

Author

Listed:
  • Saralees Nadarajah

    (University of Manchester - UK)

  • Emmanuel Afuecheta

    (University of Manchester - UK)

  • Stephen Chan

    (American University of Sharjah - rican University of Sharjah Country United Arab Emirates)

Abstract

Copulas are used to specify dependence between two or more random variables. The last few years have seen a surge of developments of parametric models for copulas. Here, we provide an up-to-date and a comprehensive review of known parametric copulas as well as applications and open problems. This review is believed to be the first of its kind.

Suggested Citation

  • Saralees Nadarajah & Emmanuel Afuecheta & Stephen Chan, 2017. "A Compendium of Copulas," Statistica, Department of Statistics, University of Bologna, vol. 77(4), pages 279-328.
    • Handle: RePEc:bot:rivsta:v:77:y:2017:i:4:p:279-328
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    Cited by:

    1. Pereda-Fernández, Santiago, 2023. "Identification and estimation of triangular models with a binary treatment," Journal of Econometrics, Elsevier, vol. 234(2), pages 585-623.
    2. Šeliga Adam & Kauers Manuel & Saminger-Platz Susanne & Mesiar Radko & Kolesárová Anna & Klement Erich Peter, 2021. "Polynomial bivariate copulas of degree five: characterization and some particular inequalities," Dependence Modeling, De Gruyter, vol. 9(1), pages 13-42, January.

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