Conditioning-based metrics on the space of multivariate copulas and their interrelation with uniform and levelwise convergence and Iterated Function Systems
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DOI: 10.1007/s10959-014-0541-4
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- Henryk Zähle, 2022. "A concept of copula robustness and its applications in quantitative risk management," Finance and Stochastics, Springer, vol. 26(4), pages 825-875, October.
- Griessenberger Florian & Trutschnig Wolfgang, 2022. "Maximal asymmetry of bivariate copulas and consequences to measures of dependence," Dependence Modeling, De Gruyter, vol. 10(1), pages 245-269, January.
- Sánchez Juan Fernández & Trutschnig Wolfgang, 2023. "A link between Kendall’s τ, the length measure and the surface of bivariate copulas, and a consequence to copulas with self-similar support," Dependence Modeling, De Gruyter, vol. 11(1), pages 1-14, January.
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Keywords
Copula; Stochastic measure; Markov kernel; Iterated Function System; Level set; Endograph;All these keywords.
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