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EnglishIn 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 related to copulas 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 will be illustrated under various dependency scenarios.
| Titolo: | A Graphical copula-based tool for detecting tail dependence | |
| Autori: | ||
| Data di pubblicazione: | 2015 | |
| 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 related to copulas 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 will be illustrated under various dependency scenarios. | |
| Handle: | http://hdl.handle.net/11368/2846596 | |
| ISBN: | 9788884679499 | |
| URL: | http://convegni.unica.it/cladag2015/files/2015/10/Cladag2015_BoA_final.pdf | |
| Appare nelle tipologie: | 4.1 Contributo in Atti Convegno (Proceeding) |
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| File | Descrizione | Tipologia | Licenza | |
|---|---|---|---|---|
| Torelli_A GRAPHICAL COPULA-BASED TOOL.pdf | Documento in Versione Editoriale | Digital Rights Management non definito | Administrator Richiedi una copia |
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