A Simple Transformation of Copulas

15 Pages Posted: 26 Nov 2007 Last revised: 6 Apr 2009

See all articles by Valdo Durrleman

Valdo Durrleman

Ecole Polytechnique - Centre de Mathematiques Appliquees - CNRS

Ashkan Nikeghbali

affiliation not provided to SSRN

Thierry Roncalli

Amundi Asset Management; University of Evry

Date Written: July 31, 2000

Abstract

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

Durrleman, Valdo and Nikeghbali, Ashkan and Roncalli, Thierry, A Simple Transformation of Copulas (July 31, 2000). Available at SSRN: https://ssrn.com/abstract=1032543 or http://dx.doi.org/10.2139/ssrn.1032543

Valdo Durrleman

Ecole Polytechnique - Centre de Mathematiques Appliquees - CNRS ( email )

Palaiseau, 91128
France

Ashkan Nikeghbali

affiliation not provided to SSRN ( email )

No Address Available

Thierry Roncalli (Contact Author)

Amundi Asset Management ( email )

90 Boulevard Pasteur
Paris, 75015
France

University of Evry ( email )

Boulevard Francois Mitterrand
F-91025 Evry Cedex
France

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