A Simple Transformation of Copulas
15 Pages Posted: 26 Nov 2007 Last revised: 6 Apr 2009
Date Written: July 31, 2000
We study how copulas properties are modified after some suitable transformations. In particular, we show that using appropriate transformations permits to fit the dependence structure in a better way.
Keywords: gamma-transformation, Kendall's tau, Spearman's rho, upper tail dependence
JEL Classification: G00
Suggested Citation: Suggested Citation