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

Dietmar Pfeifer, et al. "New copulas based on general partitions-of-unity and their applications to risk management." Dependence Modeling 4.1 (2016): 123-140, electronic only. <http://eudml.org/doc/285713>.

@article{DietmarPfeifer2016,
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.},
author = {Dietmar Pfeifer, Hervé Awoumlac Tsatedem, Andreas Mändle, Côme Girschig},
journal = {Dependence Modeling},
keywords = {copulas; partition-of-unity; tail dependence; asymmetry},
language = {eng},
number = {1},
pages = {123-140, electronic only},
title = {New copulas based on general partitions-of-unity and their applications to risk management},
url = {http://eudml.org/doc/285713},
volume = {4},
year = {2016},
}

TY - JOUR
AU - Dietmar Pfeifer
AU - Hervé Awoumlac Tsatedem
AU - Andreas Mändle
AU - Côme Girschig
TI - New copulas based on general partitions-of-unity and their applications to risk management
JO - Dependence Modeling
PY - 2016
VL - 4
IS - 1
SP - 123
EP - 140, electronic only
AB - 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.
LA - eng
KW - copulas; partition-of-unity; tail dependence; asymmetry
UR - http://eudml.org/doc/285713
ER -