For some time now, I have been looking for a good introductory reading on Copulas for my seminar. I am finding lots of material that talk about theoretical aspects, which is good, but before I move onto them I am looking to build a good intuitive understanding on the topic.

Could anyone suggest any good papers that provide a good foundation to a beginner (I have had 1-2 courses in statistics and understand marginals, multi-variate distributions, inverse transform, etc., to a reasonable extent)?

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The Joy of Copulas is a pretty good place to start. There are also several questions and answers that discuss some aspects of them here. The main thing to realize is than "copula" is just a fancy word for "multivariate distribution on the unit hypercube with uniform marginal distributions". It's also faster to say. –  cardinal Sep 25 '12 at 10:29
@Yoda: I think NaN looks for something less theoretical as a first reading. I would instead suggest google.be/… –  ocram Sep 25 '12 at 15:47
@Yoda: (+1) That is an excellent first introduction to the theoretical aspects. It is "the" standard book. –  cardinal Sep 25 '12 at 16:35
@ocram: (+1) That is another good introduction that I meant to mention by the same author as the article I alluded to in the first comment: C. Genest and J. MacKay (1986), The Joy of Copulas: Bivariate Distributions with Uniform Marginals, The American Statistician, vol. 40, no. 4, pp. 280-283. –  cardinal Sep 25 '12 at 16:37

A concise introduction is T. Schmidt 2008 - Copulas and dependent measurement. Also noteworthy is Embrechts 2009 - Copulas - A personal view.

For Schmidt I could not provide a better summary than the section titles. It provides basic definitions, intuition and examples. Discussion of sampling is bare-bone, and a brief literature review covers the must-have. As for Embrechts apart from the obligatory definitions, properties and examples the discussion is interesting since it touches drawbacks and some critical remarks made to copula modeling over the years. The bibliography is here more extensive and covers most works that one shall read

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