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.
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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