منابع مشابه
Multivariate Copulas for Financial Modeling
Although the copula literature has many instances of bivariate copulas, once more than two variates are correl ated, the choice of copulas often comes down to selection of the degrees-of-freedom parameter in the t-copula. In search for a wider selection of multivariate copulas we review a generalization of the t-copula and some copulas defined by Harry Joe. Generalizing the t-copula gives more ...
متن کاملConstruction of asymmetric multivariate copulas
In this paper we introduce two methods for the construction of asymmetric multivariate copulas. The rst is connected with products of copulas. The second approach generalises the Archimedean copulas. The resulting copulas are asymmetric and may have more than two parameters in contrast to most of the parametric families of copulas described in the literature. We study the properties of the pro...
متن کاملMultivariate copulas with hairpin support
Program: 1. Fabrizio Durante (Free University of Bozen–Bolzano, Italy) Multivariate copulas with hairpin support 2. Piotr Jaworski (University of Warsaw, Poland) Copulas of self–similar Ito diffusions 3. Franco Pellerey (Politecnico di Torino, Italy) Univariate stochastic orders and joint stochastic orders: conditions on the copula for mutual relationships 4. Giovanni Puccetti (University of Fi...
متن کاملMultivariate dependence modeling using copulas
In this contribution we review models for construction of higher dimensional dependence that have arisen recent years. In particular we focus on specific generalized Farlie Gumbel (or Sarmanov) copulas which are generated by a single function (so-called generator or generator function) defined on the unit interval. An alternative approach to generalize the FGM family of copulas is to consider t...
متن کاملTails of multivariate Archimedean copulas
A complete and user-friendly directory of tails of Archimedean copulas is presented which can be used in the selection and construction of appropriate models with desired properties. The results are synthesized in the form of a decision tree: Given the values of some readily computable characteristics of the Archimedean generator, the upper and lower tails of the copula are classified into one ...
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ژورنال
عنوان ژورنال: Journal of Multivariate Analysis
سال: 2014
ISSN: 0047-259X
DOI: 10.1016/j.jmva.2013.12.013