Charpentier, Arthur; Segers, Johan - In: Journal of Multivariate Analysis 100 (2009) 7, pp. 1521-1537
A complete and user-friendly directory of tails of Archimedean copulas is presented which can be used in the selection and construction of appropriate models with desired properties. The results are synthesized in the form of a decision tree: Given the values of some readily computable...