How to improve the fit of Archimedean copulas by means of transforms
| Year of publication: |
2012
|
|---|---|
| Authors: | Michiels, Frederik ; Schepper, Ann De |
| Published in: |
Statistical Papers. - Springer. - Vol. 53.2012, 2, p. 345-355
|
| Publisher: |
Springer |
| Subject: | Copula | Kendall’s tau | Archimedean copula | Tail dependence coefficient | Transform |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10010848054