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
Durante F;
2016-01-01
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.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
