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Understanding copula transforms: A review of dependence properties

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  • MICHIELS, Frederik
  • DE SCHEPPER, Ann

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  • 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.
    • Handle: RePEc:ant:wpaper:2009012
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    File URL: https://repository.uantwerpen.be/docman/irua/d2758b/091b34b3.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.
    2. 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.
    3. MICHIELS, Frederik & DE SCHEPPER, Ann, 2007. "A copula test space model: How to avoid the wrong copula choice," Working Papers 2007027, University of Antwerp, Faculty of Business and Economics.
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    Cited by:

    1. Frederik Michiels & Ann De Schepper, 2012. "How to improve the fit of Archimedean copulas by means of transforms," Statistical Papers, Springer, vol. 53(2), pages 345-355, May.

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