Vector copulas

DOI10.1016/J.JECONOM.2021.11.012MaRDI QIDQ6349061arXivFDO

Authors Yanqin Fan, Marc Henry

Publication date 14 September 2020

Published in arXiv

Full work available at URL https://doi.org/10.1016/J.JECONOM.2021.11.012

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

arXiv classification

econ.EMmath.PRmath.STstat.TH

Abstract: This paper introduces vector copulas associated with multivariate distributions with given multivariate marginals, based on the theory of measure transportation, and establishes a vector version of Sklar's theorem. The latter provides a theoretical justification for the use of vector copulas to characterize nonlinear or rank dependence between a finite number of random vectors (robust to within vector dependence), and to construct multivariate distributions with any given non overlapping multivariate marginals. We construct Elliptical and Kendall families of vector copulas, derive their densities, and present algorithms to generate data from them. The use of vector copulas is illustrated with a stylized analysis of international financial contagion.

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