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A Graphical Tool for Copula Selection Based on Tail Dependence

  • Roberta PappadàEmail author
  • Fabrizio Durante
  • Nicola Torelli
Conference paper
Part of the Studies in Classification, Data Analysis, and Knowledge Organization book series (STUDIES CLASS)

Abstract

In many practical applications, the selection of copulas with a specific tail behaviour may allow to estimate properly the region of the distribution that is needed at most, especially in risk management procedures. Here, a graphical tool is presented in order to assist the decision maker in the selection of an appropriate model for the problem at hand. Such a tool provides valuable indications for a preliminary overview of the tail features of different copulas which may help in the choice of a parametric model. Its use is illustrated under various dependency scenarios.

Keywords

Copula Cluster analysis Tail dependence Graphical statistics Quantitative risk management 

Notes

Acknowledgements

The second author has been partially supported by the Faculty of Economics and Management (Free University of Bozen-Bolzano, Italy), via the project ‘NEW-DEMO’. The other authors acknowledge the support of the University of Trieste, FRA 2014 (‘Metodi e modelli matematici e statistici per la valutazione e gestione del rischio in ambito finanziario e assicurativo’) and FRA 2016 (‘Nuovi sviluppi di statistica e matematica applicata per la previsione, l’analisi e la gestione dei rischi con applicazioni in ambito finanziario e assicurativo’).

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Copyright information

© Springer International Publishing AG 2018

Authors and Affiliations

  • Roberta Pappadà
    • 1
    Email author
  • Fabrizio Durante
    • 2
  • Nicola Torelli
    • 1
  1. 1.Department of Economics, Business, Mathematics and StatisticsUniversity of TriesteTriesteItaly
  2. 2.Dipartimento di Scienze dell’EconomiaUniversità del SalentoLecceItaly

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