On an asymmetric extension of multivariate Archimedean copulas based on quadratic form
An important topic in Quantitative Risk Management concerns the modeling of dependence among risk sources and in this regard Archimedean copulas appear to be very useful. However, they exhibit symmetry, which is not always consistent with patterns observed in real world data. We investigate extensio...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
De Gruyter
2016-12-01
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| Series: | Dependence Modeling |
| Subjects: | |
| Online Access: | https://doi.org/10.1515/demo-2016-0019 |