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Constructing and generalizing multivariate copulas: a generalizing approach

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  • Fischer, Matthias J.
  • Köck, Christian

Abstract

Recently, Liebscher (2006) introduced a general construction scheme of d-variate copulas which generalizes the Archimedean family. Similarly, Morillas (2005) proposed a method to obtain a variety of new copulas from a given d-copula. Both approaches coincide only for the particular subclass of Archimedean copulas. Within this work we present a unifying framework which includes both Liebscher and Morillas copulas as special cases. Above that, more general copulas may be constructed. First examples are given.

Suggested Citation

  • Fischer, Matthias J. & Köck, Christian, 2007. "Constructing and generalizing multivariate copulas: a generalizing approach," Discussion Papers 80/2007, Friedrich-Alexander University Erlangen-Nuremberg, Chair of Statistics and Econometrics.
    • Handle: RePEc:zbw:faucse:802007
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    References listed on IDEAS

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    1. Patricia Mariela Morillas, 2005. "A method to obtain new copulas from a given one," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 61(2), pages 169-184, April.
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    Cited by:

    1. Matthias Fischer & Christian Köck, 2007. "Multivariate Copula Models at Work: Dependence Structure of Energie Prices," Energy and Environmental Modeling 2007 24000014, EcoMod.

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