Construction of Multivariate Copulas and the Compatibility Problem

8 Pages Posted: 10 Jan 2007

See all articles by Christophe Laforge

Christophe Laforge

Bank for International Settlements (BIS)

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

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

Christophe REG Laforge (Contact Author)

Bank for International Settlements (BIS) ( email )

Aeschenplatz, 1
Basel, 4002
Switzerland

Do you have negative results from your research you’d like to share?

Paper statistics

Downloads
616
Abstract Views
2,158
Rank
80,168
PlumX Metrics