Shaping tail dependencies by nesting box copulas
Computational Finance
2009-08-11 v2 Risk Management
Abstract
We introduce a family of copulas which are locally piecewise uniform in the interior of the unit cube of any given dimension. Within that family, the simultaneous control of tail dependencies of all projections to faces of the cube is possible and we give an efficient sampling algorithm. The combination of these two properties may be appealing to risk modellers.
Cite
@article{arxiv.0906.4853,
title = {Shaping tail dependencies by nesting box copulas},
author = {Christoph Hummel},
journal= {arXiv preprint arXiv:0906.4853},
year = {2009}
}
Comments
25 pages, 3 figures, added reference, remarks in Section 6, corrected typos