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Exploring the ? copula construction method for Archimedean copulas: Discussion of three ? types


  • MICHIELS, Frederik
  • KOCH, Inge


We 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.

Suggested Citation

  • MICHIELS, Frederik & KOCH, Inge & DE SCHEPPR, Ann, 2008. "Exploring the ? copula construction method for Archimedean copulas: Discussion of three ? types," Working Papers 2008021, University of Antwerp, Faculty of Applied Economics.
  • Handle: RePEc:ant:wpaper:2008021

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    Cited by:

    1. MICHIELS, Frederik & DE SCHEPPER, Ann, 2009. "Understanding copula transforms: A review of dependence properties," Working Papers 2009012, University of Antwerp, Faculty of Applied Economics.

    More about this item


    Copula; Kendall’s ?; Multiparametric Archimedean copula family; Tail dependence;

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