Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/29602
Authors: 
Fischer, Matthias J.
Klein, Ingo
Year of Publication: 
2004
Series/Report no.: 
Diskussionspapiere // Friedrich-Alexander-Universität Erlangen-Nürnberg, Lehrstuhl für Statistik und Ökonometrie 61/2004
Abstract: 
In this paper we focus on symmetric generalized Fairlie-Gumbel-Morgenstern (or symmetric Sarmanov) copulas which are characterized by means of so-called generator functions. In particular, we introduce a class of generator functions which is based on univariate distributions with certain properties. Some of the generator functions from the literature are recovered. Moreover two new generators are suggested, implying two new copulas. Finally, the opposite way around, it is exemplarily shown how to calculate the univariate distribution which belongs to a given copula generator function.
Document Type: 
Working Paper

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