A generalized beta copula with applications in modeling multivariate long-tailed data

This work proposes a new copula class that we call the MGB2 copula. The new copula originates from extracting the dependence function of the multivariate GB2 distribution (MGB2) whose marginals follow the univariate generalized beta distribution of the second kind (GB2). The MGB2 copula can capture...

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Veröffentlicht in:	Insurance, mathematics & economics mathematics & economics, 2011-09, Vol.49 (2), p.265-284
Hauptverfasser:	Yang, Xipei, Frees, Edward W., Zhang, Zhengjun
Format:	Artikel
Sprache:	eng
Schlagworte:	Additive model Asymmetry Copulas Copulas Non-elliptical asymmetric dependence Tail dependence Long-tail regression Additive model Distribution Economic theory Long-tail regression Non-elliptical asymmetric dependence Quantitative economics Regression analysis Tail dependence
Online-Zugang:	Volltext
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