Threshold copulas and positive dependence

DOI10.1016/j.spl.2008.04.013zbMath1148.62032MaRDI QIDQ956362

Fabrizio Durante, Rachele Foschi, Fabio L. Spizzichino

Publication date: 25 November 2008

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: http://eprints.imtlucca.it/706/1/Durante_Foschi_Spizzichino_Revision.pdf

Mathematics Subject Classification ID

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

Related Items

Unnamed Item, Copulas Based on Marshall–Olkin Machinery, Dependence of exchangeable residual lifetimes subject to failure, A positive dependence notion based on componentwise unimodality of copulas, Gaussian approximation of conditional elliptical copulas, Stochastic comparisons and bounds for conditional distributions by using copula properties, Evolution of the Dependence of Residual Lifetimes, Invariant dependence structure under univariate truncation: the high-dimensional case, Invariant dependence structure under univariate truncation, On the Characterization of Copulas by Differential Equations, Aging and ordering properties of multivariate lifetimes with Archimedean dependence structures, Unnamed Item, Unnamed Item, Spatial contagion between financial markets: a copula-based approach, Limiting Tail Dependence Copulas

Uses Software

• QRM

Cites Work

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• Weighted approximations of tail copula processes with application to testing the bivariate extreme value condition
• An introduction to copulas.
• A framework for positive dependence
• Copula convergence theorems for tail events.
• Tail dependence from a distributional point of view
• Conjunctors and their residual implicators: characterizations and construction methods
• Limiting dependence structures for tail events, with applications to credit derivatives