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Multivariate dependence modeling using copulas

Author

Listed:
  • Marta Cardin

    (Department of Applied Mathematics, University of Venice)

  • Maddalena Manzi

    (Department of Mathematics, University of Padua)

Abstract

There exist necessary and sufficient conditions on the generating functions of the FGM family, in order to obtain various dependence properties. We present multivariate generalizations of this class studying symmetry and dependence concepts, measuring the dependence among the components of each class and providing several examples.

Suggested Citation

  • Marta Cardin & Maddalena Manzi, 2008. "Multivariate dependence modeling using copulas," Working Papers 183, Department of Applied Mathematics, Università Ca' Foscari Venezia.
    • Handle: RePEc:vnm:wpaper:183
    as

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    File URL: http://virgo.unive.it/wpideas/storage/2008wp183.pdf
    File Function: First version, 2008
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    References listed on IDEAS

    as
    1. Matthias Fischer & Ingo Klein, 2007. "Constructing Generalized FGM Copulas by Means of Certain Univariate Distributions," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 65(2), pages 243-260, February.
    2. M. Taylor, 2007. "Multivariate measures of concordance," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 59(4), pages 789-806, December.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    copula; density function; FGM copulas; dependence; symmetry;
    All these keywords.

    JEL classification:

    • C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics

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