Serving the Quantitative Finance Community

Interpreting Archimedean copula parameters

Post Reply
 
User avatar
jchircop123
Topic Author
Posts: 0
Joined: February 18th, 2014, 8:10 am

Interpreting Archimedean copula parameters

March 27th, 2014, 10:28 pm

Could someone please explain to me how one would interpret bivariate as well as multivariate Archimedean copula parameters?
Top
 
User avatar
eh
Posts: 3
Joined: March 2nd, 2010, 9:26 am

Interpreting Archimedean copula parameters

March 28th, 2014, 2:44 pm

It will depend on the particular copula. In general, there is no easy interpretation.
Top
 
User avatar
jchircop123
Topic Author
Posts: 0
Joined: February 18th, 2014, 8:10 am

Interpreting Archimedean copula parameters

June 24th, 2014, 4:42 pm

Gumbel, Clayton and Frank
Top
© All material, including contents and design, copyright Wilmott Electronic Media Limited | Privacy | About | Contact us