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

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  • MICHIELS, Frederik
  • KOCH, Inge
  • DE SCHEPPR, Ann

Abstract

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 Business and Economics.
    • Handle: RePEc:ant:wpaper:2008021
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    File URL: https://repository.uantwerpen.be/docman/irua/bacd0e/cbdc4336.pdf
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    References listed on IDEAS

    as
    1. Charpentier, Arthur & Segers, Johan, 2009. "Tails of multivariate Archimedean copulas," Journal of Multivariate Analysis, Elsevier, vol. 100(7), pages 1521-1537, August.
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    1. MICHIELS, Frederik & DE SCHEPPER, Ann, 2009. "Understanding copula transforms: A review of dependence properties," Working Papers 2009012, University of Antwerp, Faculty of Business and Economics.

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    Keywords

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