New copulas based on general partitions-of-unity. III: The continuous case

DOI10.1515/DEMO-2019-0009zbMath1439.62133arXiv1803.00957OpenAlexW2954390306MaRDI QIDQ2178937

Olena Ragulina, Andreas Mändle, Côme Girschig, Dietmar Pfeifer

Publication date: 12 May 2020

Published in: Dependence Modeling (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1803.00957

zbMATH Keywords

tail dependencepartition-of-unity copulas

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Measures of association (correlation, canonical correlation, etc.) (62H20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Contingency tables (62H17)

Related Items (3)

Bayesian estimation of generalized partition of unity copulas ⋮ Joint modelling of the body and tail of bivariate data ⋮ Generating unfavourable VaR scenarios under Solvency II with patchwork copulas

Uses Software

• QRM

Cites Work

• New copulas based on general partitions-of-unity and their applications to risk management
• New copulas based on general partitions-of-unity and their applications to risk management. II.
• Multivariate multiple test procedures based on nonparametric copula estimation
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