A Graphical Tool for Copula Selection Based on Tail Dependence View Full Text


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Chapter Info

DATE

2018-02-22

AUTHORS

Roberta Pappadà , Fabrizio Durante , Nicola Torelli

ABSTRACT

In many practical applications, the selection of copulas with a specific tail behaviour may allow to estimate properly the region of the distribution that is needed at most, especially in risk management procedures. Here, a graphical tool is presented in order to assist the decision maker in the selection of an appropriate model for the problem at hand. Such a tool provides valuable indications for a preliminary overview of the tail features of different copulas which may help in the choice of a parametric model. Its use is illustrated under various dependency scenarios. More... »

PAGES

211-218

Identifiers

URI

http://scigraph.springernature.com/pub.10.1007/978-3-319-55708-3_23

DOI

http://dx.doi.org/10.1007/978-3-319-55708-3_23

DIMENSIONS

https://app.dimensions.ai/details/publication/pub.1101144313


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