Construction of Multivariate Copulas and the Compatibility Problem
8 Pages Posted: 10 Jan 2007
Date Written: January 4, 2007
Abstract
The first result of this paper is a method to construct multivariate copulas based on bivariate copulas. This method is a generalization of the Darsow-Nguyen-Olsen product of copulas and allows a straightforward generation of copula families. Using this method, and this is the second result of this paper, it was possible to define a criterion for the compatibility problem of marginal copulas.
Keywords: Multivariate distribution, copula, Risk Management
JEL Classification: D81, C10, C40, C51
Suggested Citation: Suggested Citation
Laforge, Christophe REG, Construction of Multivariate Copulas and the Compatibility Problem (January 4, 2007). Available at SSRN: https://ssrn.com/abstract=956041 or http://dx.doi.org/10.2139/ssrn.956041
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