Copulas with given values on the tails
From MaRDI portal
Publication:2409098
DOI10.1016/j.ijar.2017.03.010zbMath1429.62177OpenAlexW2601005158MaRDI QIDQ2409098
Fabrizio Durante, Juan Fernández-Sánchez, Manuel Úbeda-Flores, José Juan Quesada-Molina
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
Related Items
On multivariate asymmetric dependence using multivariate skew-normal copula-based regression ⋮ Copulas, uncertainty, and false discovery rate control
Cites Work
- Unnamed Item
- Convergence results for patchwork copulas
- Lower semiquadratic copulas with a given diagonal section
- Characterization of all copulas associated with non-continuous random variables
- Bivariate quasi-copulas and doubly stochastic signed measures
- Multivariate copulas, quasi-copulas and lattices
- Aggregation functions: construction methods, conjunctive, disjunctive and mixed classes
- Ordinal sums and idempotents of copulas
- VaR bounds for joint portfolios with dependence constraints
- New constructions of diagonal patchwork copulas
- An introduction to copulas.
- 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
- Quasi-copulas and signed measures
- A characterization of quasi-copulas
- Diagonal plane sections of trivariate copulas
- Sklar's theorem in an imprecise setting
- Joint cumulative distribution functions for Dempster-Shafer belief structures using copulas
- Universal integrals based on copulas
- Best-possible bounds on sets of bivariate distribution functions
- Multivariate patchwork copulas: a unified approach with applications to partial comonotonicity
- Reducing model risk via positive and negative dependence assumptions
- The unwalked path between quasi-copulas and copulas: stepping stones in higher dimensions
- Intervals of 1-Lipschitz aggregation operators, quasi-copulas, and copulas with given affine section
- The lattice-theoretic structure of sets of bivariate copulas and quasi-copulas
- Sharp Bounds on a Class of Copulas with known Values at Several Points
- Mathematical Risk Analysis
- 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)
- Rectangular Patchwork for Bivariate Copulas and Tail Dependence
- Solution of Some Transportation Problems with Relaxed or Additional Constraints
- Principles of Copula Theory
- Bounds on Capital Requirements For Bivariate Risk with Given Marginals and Partial Information on the Dependence
- On the Construction of Families of Absolutely Continuous Copulas with Given Restrictions
- A Primer on Copulas for Count Data
