Copula diagnostics for asymmetries and conditional dependence

DOI10.1080/02664763.2019.1685080MaRDI QIDQ5037090zbMATH OpenOpenAlexWikidataFDO

Authors Bo Chang, Harry Joe

Publication date 25 February 2022

Published in Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02664763.2019.1685080

zbMATH Keywords

bivariate asymmetry measuredependence measuresimplifying assumptionsmoothingtail-weighted dependencevine

Mathematics Subject Classification ID

Applications of statistics (62Pxx)

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Cites work

• A NEW MEASURE OF RANK CORRELATION
• Assessing and Modeling Asymmetry in Bivariate Continuous Data
• Beyond simplified pair-copula constructions
• Conditional copulas, association measures and their applications
• Construction of asymmetric multivariate copulas
• Copula-based measures of reflection and permutation asymmetry and statistical tests
• Dependence modeling with copulas
• Distributions Generated by Perturbation of Symmetry with Emphasis on a Multivariate Skewt-Distribution
• Generalized Additive Models for Pair-Copula Constructions
• How non-symmetric can a copula be?
• scientific article; zbMATH DE number 3738723 (Why is no real title available?)
• scientific article; zbMATH DE number 3221828 (Why is no real title available?)
• scientific article; zbMATH DE number 3222478 (Why is no real title available?)
• Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses
• Local Regression and Likelihood
• Maximum likelihood estimation of skew-t copulas with its applications to stock returns
• Measures of non-exchangeability for bivariate random vectors
• Measures of tail asymmetry for bivariate copulas
• On a Measure of Dependence Between two Random Variables
• On tests of radial symmetry for bivariate copulas
• On the simplified pair-copula construction -- simply useful or too simplistic?
• Parametric families of multivariate distributions with given margins
• Quantitative risk management. Concepts, techniques and tools
• R-vine models for spatial time series with an application to daily mean temperature
• Selecting and estimating regular vine copulae and application to financial returns
• Simplified pair copula constructions -- limitations and extensions
• Tail-weighted dependence measures with limit being the tail dependence coefficient
• Tail-weighted measures of dependence
• The multivariate skew-normal distribution
• Truncated regular vines in high dimensions with application to financial data

Cited in

(2)

• Counterdiagonal/nonpositive tail dependence in vine copula constructions: application to portfolio management
• Maximal asymmetry of bivariate copulas and consequences to measures of dependence

Describes a project that uses

Uses Software

• VineCopula
• QRM
• CopulaModel

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