Anywhere where there is the possibility of some upper tail dependence in addition to the lower tail in the Clayton
Thanks Simon. And how would an implicit normal copula be applied in practice. THE ACT ED NOTES STATE that there is no tail dependence for this copula. Would this property make applications similar to the Frank copula?
Hi Simon, a couple of furthe questions on copulas: 1. coefficients of upper and lower tail dependance formulae result is C(u,u) - is that a copula? 2. Why performing transformations using the generator function?
1. yes 2. sometimes it is easier to work in generator functions than in the copula function, they tend to be closed form functions