Multivariate patchwork copulas: A unified approach with applications to partial comonotonicity
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DOI: 10.1016/j.insmatheco.2013.10.010
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Cited by:
- Zheng, Yanting & Luan, Xin & Lu, Xin & Liu, Jiaming, 2023. "A new view of risk contagion by decomposition of dependence structure: Empirical analysis of Sino-US stock markets," International Review of Financial Analysis, Elsevier, vol. 90(C).
- Elena Di Bernardino & Didier Rullière, 2017. "A note on upper-patched generators for Archimedean copulas," Post-Print hal-01347869, HAL.
- Pfeifer Dietmar & Mändle Andreas & Ragulina Olena, 2017. "New copulas based on general partitions-of-unity and their applications to risk management (part II)," Dependence Modeling, De Gruyter, vol. 5(1), pages 246-255, October.
- André, L.M. & Wadsworth, J.L. & O'Hagan, A., 2024. "Joint modelling of the body and tail of bivariate data," Computational Statistics & Data Analysis, Elsevier, vol. 189(C).
- Dietmar Pfeifer & Andreas Mandle & Olena Ragulina, 2017. "Data driven partition-of-unity copulas with applications to risk management," Papers 1703.05047, arXiv.org, revised Nov 2020.
- Su, Jianxi & Hua, Lei, 2017. "A general approach to full-range tail dependence copulas," Insurance: Mathematics and Economics, Elsevier, vol. 77(C), pages 49-64.
- Laverny, Oskar & Masiello, Esterina & Maume-Deschamps, Véronique & Rullière, Didier, 2021. "Dependence structure estimation using Copula Recursive Trees," Journal of Multivariate Analysis, Elsevier, vol. 185(C).
- Durante Fabrizio & Fernández-Sánchez Juan & Trutschnig Wolfgang, 2014. "Solution to an open problem about a transformation on the space of copulas," Dependence Modeling, De Gruyter, vol. 2(1), pages 1-8, November.
- Dietmar Pfeifer & Andreas Mandle & Olena Ragulina, 2017. "New copulas based on general partitions-of-unity and their applications to risk management (part II)," Papers 1709.07682, arXiv.org, revised Jan 2019.
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Keywords
Comonotonicity; Copula; Patchwork construction; Tail dependence;All these keywords.
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