Copulas with given values on the tails

DOI10.1016/J.IJAR.2017.03.010zbMATH Open1429.62177OpenAlexW2601005158MaRDI QIDQ2409098FDOQ2409098

Authors: Fabrizio Durante, Juan Fernández-Sánchez, José Juan Quesada-Molina, Manuel Úbeda-Flores 

Publication date: 11 October 2017

Published in: International Journal of Approximate Reasoning (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ijar.2017.03.010

Recommendations

• A new class of copulas with tail dependence
• Copulas, diagonals, and tail dependence
• Tail dependence of the Gaussian copula revisited
• Tails of multivariate Archimedean copulas
• On conditional value at risk (CoVaR) for tail-dependent copulas
• Limiting tail dependence copulas
• Estimating a bivariate tail: a copula based approach
• A general approach to full-range tail dependence copulas
• Distorted Copulas: Constructions and Tail Dependence
• scientific article; zbMATH DE number 5631923

zbMATH Keywords

copulaoptimizationtail dependencequasi-copulaFréchet-Hoeffding bounds

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Cites Work

• Principles of copula theory
• A Primer on Copulas for Count Data
• An introduction to copulas.
• Convergence results for patchwork copulas
• Aggregation functions.
• A characterization of quasi-copulas
• Ordinal sums and idempotents of copulas
• Reducing model risk via positive and negative dependence assumptions
• The lattice-theoretic structure of sets of bivariate copulas and quasi-copulas
• Improved Fréchet bounds and model-free pricing of multi-asset options
• A note on `Improved Fréchet bounds and model-free pricing of multi-asset options' by Tankov (2011)
• Lower semiquadratic copulas with a given diagonal section
• Characterization of all copulas associated with non-continuous random variables
• Multivariate copulas, quasi-copulas and lattices
• Mathematical risk analysis. Dependence, risk bounds, optimal allocations and portfolios
• Multivariate patchwork copulas: a unified approach with applications to partial comonotonicity
• Rectangular Patchwork for Bivariate Copulas and Tail Dependence
• Sklar's theorem in an imprecise setting
• Universal integrals based on copulas
• Bivariate quasi-copulas and doubly stochastic signed measures
• Bounds on Capital Requirements For Bivariate Risk with Given Marginals and Partial Information on the Dependence
• Quasi-copulas and signed measures
• Aggregation functions: construction methods, conjunctive, disjunctive and mixed classes
• Best-possible bounds on sets of bivariate distribution functions
• On the Construction of Families of Absolutely Continuous Copulas with Given Restrictions
• New constructions of diagonal patchwork copulas
• Joint cumulative distribution functions for Dempster-Shafer belief structures using copulas
• Intervals of 1-Lipschitz aggregation operators, quasi-copulas, and copulas with given affine section
• Solution of Some Transportation Problems with Relaxed or Additional Constraints
• Sharp bounds on a class of copulas with known values at several points
• VaR bounds for joint portfolios with dependence constraints
• A measure of mutual complete dependence in discrete variables through subcopula
• Joint distributions of random sets and their relation to copulas
• Sklar's theorem for minitive belief functions
• Diagonal plane sections of trivariate copulas
• The unwalked path between quasi-copulas and copulas: stepping stones in higher dimensions

Cited In (3)

• Copulas, uncertainty, and false discovery rate control
• Title not available (Why is that?)
• On multivariate asymmetric dependence using multivariate skew-normal copula-based regression

This page was built for publication: Copulas with given values on the tails

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2409098)