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Construction of asymmetric multivariate copulas

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  • Liebscher, Eckhard

Abstract

In this paper we introduce two methods for the construction of asymmetric multivariate copulas. The first is connected with products of copulas. The second approach generalises the Archimedean copulas. The resulting copulas are asymmetric and may have more than two parameters in contrast to most of the parametric families of copulas described in the literature. We study the properties of the proposed families of copulas such as the dependence of two components (Kendall's tau, tail dependence), marginal distributions and the generation of random variates.

Suggested Citation

  • Liebscher, Eckhard, 2008. "Construction of asymmetric multivariate copulas," Journal of Multivariate Analysis, Elsevier, vol. 99(10), pages 2234-2250, November.
    • Handle: RePEc:eee:jmvana:v:99:y:2008:i:10:p:2234-2250
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    1. Chen, Xiaohong & Fan, Yanqin & Tsyrennikov, Viktor, 2006. "Efficient Estimation of Semiparametric Multivariate Copula Models," Journal of the American Statistical Association, American Statistical Association, vol. 101, pages 1228-1240, September.
    2. Charpentier, Arthur & Segers, Johan, 2007. "Lower tail dependence for Archimedean copulas: Characterizations and pitfalls," Insurance: Mathematics and Economics, Elsevier, vol. 40(3), pages 525-532, May.
    3. Koehler, K. J. & Symanowski, J. T., 1995. "Constructing Multivariate Distributions with Specific Marginal Distributions," Journal of Multivariate Analysis, Elsevier, vol. 55(2), pages 261-282, November.
    4. Joe, Harry, 2005. "Asymptotic efficiency of the two-stage estimation method for copula-based models," Journal of Multivariate Analysis, Elsevier, vol. 94(2), pages 401-419, June.
    5. Edward Frees & Emiliano Valdez, 1998. "Understanding Relationships Using Copulas," North American Actuarial Journal, Taylor & Francis Journals, vol. 2(1), pages 1-25.
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    Keywords

    62H20 Copula Archimedean copula Tail dependence;

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