Exploring the lambda copula construction method for Archimedean copulas: discussion of three lambda types
Faculty of Applied Economics
Antwerp :UA, 2008
Research paper; 2008:21/ UA, Faculty of Applied Economics
University of Antwerp
We introduce and discuss a new parametric copula builder which is named the construction method. The methodology is explained and illustrated using 3 types of functions. It shows that the method has strong visual advantages for recognizing key dependence characteristics and importing them into the copula model. Furthermore, the method facilitates the representation of a copula family as a collection of comparable test spaces as defined in Michiels and De Schepper (2008). As such, the modeling capacity of these families is discussed in a clear way.