New copulas based on general partitions-of-unity and their applications to risk management
We construct new multivariate copulas on the basis of a generalized infinite partition-of-unity approach. This approach allows, in contrast to finite partition-of-unity copulas, for tail-dependence as well as for asymmetry. A possibility of fitting such copulas to real data from quantitative risk ma...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
De Gruyter
2016-07-01
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| Series: | Dependence Modeling |
| Subjects: | |
| Online Access: | https://doi.org/10.1515/demo-2016-0006 |