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New copulas based on general partitions-of-unity and their applications to risk management

New copulas based on general partitions-of-unity and their applications to risk management Abstract 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 management is also pointed out. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Dependence Modeling de Gruyter

New copulas based on general partitions-of-unity and their applications to risk management

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Publisher
de Gruyter
Copyright
Copyright © 2016 by the
ISSN
2300-2298
eISSN
2300-2298
DOI
10.1515/demo-2016-0006
Publisher site
See Article on Publisher Site

Abstract

Abstract 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 management is also pointed out.

Journal

Dependence Modelingde Gruyter

Published: Jul 21, 2016

References