Results 71 to 80 of about 12,179 (202)

Bounds for Trivariate Copulas with Given Bivariate Marginals

Journal of Inequalities and Applications, 2008
We determine two constructions that, starting with two bivariate copulas, give rise to new bivariate and trivariate copulas, respectively. These constructions are used to determine pointwise upper and lower bounds for the class of all trivariate copulas ...
Quesada-Molina JoséJuan, Durante Fabrizio, Klement ErichPeter   +2 more
doaj  

WORLD FINANCIAL RELATIONS: UNDERSTANDING THE CREDIT DERIVATIVE SWAPS (CDS) DEPENDENCE STRUCTURE

REAd
This study investigates the copula model that best fit to model the dependence structure of Credit Derivative Swaps (CDS) spreads. For the analysis, we consider daily data from the period of January 1, 2009 to December 31, 2014.
Fernanda Maria Müller, Marcelo Brutti Righi, Anderson Luis Walker Amorin   +2 more
doaj   +1 more source

A new class of copulas with tail dependence and a generalized tail dependence estimator [PDF]

We present a new family of copulas (generalized mean copulas) which is positive comprehensive and allows for upper tail dependence. It includes the Spearman copula and a specific Fréchet copula as special cases.
Fischer, Matthias J., Hinzmann, Gerd
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Lower Tail Dependence for Archimedean Copulas: Characterizations and Pitfalls [PDF]

Tail dependence copulas provide a natural perspective from which one can study the dependence in the tail of a multivariate distribution.For Archimedean copulas with continuously differentiable generators, regular variation of the generator near the ...
Charpentier, A., Segers, J.J.J.
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Continuous Exchangeable Markov Chains, Idempotent and 1-Dependent Copulas

Mathematics
New copula families are constructed based on orthogonality in L2(0,1). Subclasses of idempotent copulas with square integrable densities are derived.
Martial Longla
doaj   +1 more source

Testing the bivariate distribution of daily equity returns using copulas. An application to the Spanish stock market [PDF]

In this paper we deal with the identification of dependencies between time series of equity returns. Marginal distribution functions are assumed to be known, and a bivariate chi-square test of fit is applied in a fully parametric copula approach. Several
Antonio Alegre Escolano, Oriol Roch Casellas   +1 more
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Defects and transformations of quasi-copulas [PDF]

, 2016
summary:Six different functions measuring the defect of a quasi-copula, i. e., how far away it is from a copula, are discussed. This is done by means of extremal non-positive volumes of specific rectangles (in a way that a zero defect characterizes ...
Saminger-Platz, Susanne, Klement, Erich Peter, Erich Peter Klement, Dibala, Michal, Susanne Saminger-Platz, Mesiar, Radko, Radko Mesiar, Michal Dibala   +7 more
core   +1 more source

Distorted copulas

Fuzzy Sets and Systems
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
openaire   +4 more sources

Goodness-of-fit test for copulas [PDF]

Copulas are often used in finance to characterize the dependence between assets. However, a choice of the functional form for the copula is an open question in the literature.
Panchenko, V.
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Convergence of Archimedean Copulas [PDF]

Convergence of a sequence of bivariate Archimedean copulas to another Archimedean copula or to the comonotone copula is shown to be equivalent with convergence of the corresponding sequence of Kendall distribution functions.No extra differentiability ...
Charpentier, A., Segers, J.J.J.
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