Luciano, Elisa; Spreeuw, Jaap; Vigna, Elena - Collegio Carlo Alberto, Università degli Studi di Torino - 2012
intensity. Dependence is modelled through copula functions. We consider Archimedean single and multi-parameter copulas. We find … also its features - as measured by the copula - change across generations: the best-fit Archimedean copula is not the same … across generations. Moreover, for all the generations under exam the single-parameter copula is dominated by the two …