Module 18 - copulas

Discussion in 'SP9' started by Viki2010, Feb 12, 2018.

  1. Viki2010

    Viki2010 Member

    How would applications of generalised clayron vs clayton copula differ in practice?
     
  2. Simon James

    Simon James ActEd Tutor Staff Member

    Anywhere where there is the possibility of some upper tail dependence in addition to the lower tail in the Clayton
     
  3. Viki2010

    Viki2010 Member

    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?
     
  4. Viki2010

    Viki2010 Member

    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?
     
  5. Simon James

    Simon James ActEd Tutor Staff Member

    1. yes
    2. sometimes it is easier to work in generator functions than in the copula function, they tend to be closed form functions
     

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