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.

A Graphical copula-based tool for detecting tail dependence

PAPPADA' , ROBERTA;TORELLI, Nicola
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.
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http://convegni.unica.it/cladag2015/files/2015/10/Cladag2015_BoA_final.pdf
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11368/2846596
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