Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/29627
Authors: 
Fischer, Matthias J.
Köck, Christian
Year of Publication: 
2007
Series/Report no.: 
Diskussionspapiere // Friedrich-Alexander-Universität Erlangen-Nürnberg, Lehrstuhl für Statistik und Ökonometrie 80/2007
Abstract: 
Recently, Liebscher (2006) introduced a general construction scheme of d-variate copulas which generalizes the Archimedean family. Similarly, Morillas (2005) proposed a method to obtain a variety of new copulas from a given d-copula. Both approaches coincide only for the particular subclass of Archimedean copulas. Within this work we present a unifying framework which includes both Liebscher and Morillas copulas as special cases. Above that, more general copulas may be constructed. First examples are given.
Subjects: 
construction of d-variate copulas
Archimedean copulas
Document Type: 
Working Paper

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