New copulas based on general partitions-of-unity and their applications to risk management (part II)

Dietmar Pfeifer, Andreas Mändle, and Olena Ragulina. "New copulas based on general partitions-of-unity and their applications to risk management (part II)." Dependence Modeling 5.1 (2017): 246-255. <http://eudml.org/doc/288578>.

@article{DietmarPfeifer2017,
abstract = {We present a constructive and self-contained approach to data driven infinite partition-of-unity copulas that were recently introduced in the literature. In particular, we consider negative binomial and Poisson copulas and present a solution to the problem of fitting such copulas to highly asymmetric data in arbitrary dimensions.},
author = {Dietmar Pfeifer, Andreas Mändle, Olena Ragulina},
journal = {Dependence Modeling},
keywords = {copulas; partition-of-unity; tail dependence; asymmetry},
language = {eng},
number = {1},
pages = {246-255},
title = {New copulas based on general partitions-of-unity and their applications to risk management (part II)},
url = {http://eudml.org/doc/288578},
volume = {5},
year = {2017},
}

TY - JOUR
AU - Dietmar Pfeifer
AU - Andreas Mändle
AU - Olena Ragulina
TI - New copulas based on general partitions-of-unity and their applications to risk management (part II)
JO - Dependence Modeling
PY - 2017
VL - 5
IS - 1
SP - 246
EP - 255
AB - We present a constructive and self-contained approach to data driven infinite partition-of-unity copulas that were recently introduced in the literature. In particular, we consider negative binomial and Poisson copulas and present a solution to the problem of fitting such copulas to highly asymmetric data in arbitrary dimensions.
LA - eng
KW - copulas; partition-of-unity; tail dependence; asymmetry
UR - http://eudml.org/doc/288578
ER -