A parsimonious multivariate copula for tail dependence modeling
نویسندگان
چکیده
Copulas are increasingly studied both in theory and practice as they are a convenient tool to construct multivariate distribution functions. However the material essentially covers the bi-variate case while in applications the number of variables is much higher. Furthermore, when one wants to take into account tail dependence, a desirable property is to have enough flexibility in the tails while avoiding the exponential growth of the number of parameters. We propose in this communication a one-factor model which exhibits this feature.
منابع مشابه
Characterization of multivariate heavy-tailed distribution families via copula
The multivariate regular variation (MRV) is one of the most important tools in modeling multivariate heavy-tailed phenomena. This paper characterizes the MRV distributions through the tail dependence function of the copula associated with them. Along with some existing results, our studies indicate that the existence of the lower tail dependence function of the survival copula is necessary and ...
متن کاملMultivariate Copulas for Financial Modeling
Although the copula literature has many instances of bivariate copulas, once more than two variates are correl ated, the choice of copulas often comes down to selection of the degrees-of-freedom parameter in the t-copula. In search for a wider selection of multivariate copulas we review a generalization of the t-copula and some copulas defined by Harry Joe. Generalizing the t-copula gives more ...
متن کاملTail dependence for weighted mean of two copula function
In this paper, we study the properties of power weighted means, arithmetic, geometry and harmonic for two copulas.
متن کاملTail dependence functions and vine copulas
Tail dependence and conditional tail dependence functions describe, respectively, the tail probabilities and conditional tail probabilities of a copula at various relative scales. The properties as well as the interplay of these two functions are established based upon their homogeneous structures. The extremal dependence of a copula, as described by its extreme value copulas, is shown to be co...
متن کاملTail order and intermediate tail dependence of multivariate copulas
In order to study copula families that have different tail patterns and tail asymmetry than multivariate Gaussian and t copulas, we introduce the concepts of tail order and tail order functions. These provide an integrated way to study both tail dependence and intermediate tail dependence. Some fundamental properties of tail order and tail order functions are obtained. For the multivariate Arch...
متن کامل