Displaying similar documents to “The use of copulas in the study of certain transforms of random variables with applications in finance.”

Sample d -copula of order m

José M. González-Barrios, María M. Hernández-Cedillo (2013)

Kybernetika

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In this paper we analyze the construction of d -copulas including the ideas of Cuculescu and Theodorescu [5], Fredricks et al. [15], Mikusiński and Taylor [25] and Trutschnig and Fernández-Sánchez [33]. Some of these methods use iterative procedures to construct copulas with fractal supports. The main part of this paper is given in Section 3, where we introduce the sample d -copula of order m with m ≥ 2 , the central idea is to use the above methodologies to construct a new copula based on...

A short note on multivariate dependence modeling

Vladislav Bína, Radim Jiroušek (2013)

Kybernetika

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As said by Mareš and Mesiar, necessity of aggregation of complex real inputs appears almost in any field dealing with observed (measured) real quantities (see the citation below). For aggregation of probability distributions Sklar designed his copulas as early as in 1959. But surprisingly, since that time only a very few literature have appeared dealing with possibility to aggregate several different pairwise dependencies into one multivariate copula. In the present paper this problem...

On copulas that generalize semilinear copulas

Juan Fernández Sánchez, Manuel Úbeda-Flores (2012)

Kybernetika

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We study a wide class of copulas which generalizes well-known families of copulas, such as the semilinear copulas. We also study corresponding results for the case of quasi-copulas.

On a problem by Schweizer and Sklar

Fabrizio Durante (2012)

Kybernetika

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We give a representation of the class of all n -dimensional copulas such that, for a fixed m ∈ ℕ , 2 ≤ m < n , all their m -dimensional margins are equal to the independence copula. Such an investigation originated from an open problem posed by Schweizer and Sklar.

Records and concomitants.

Ahsanullah, M. (2009)

Bulletin of the Malaysian Mathematical Sciences Society. Second Series

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Bivariate copulas: Transformations, asymmetry and measures of concordance

Sebastian Fuchs, Klaus D. Schmidt (2014)

Kybernetika

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The present paper introduces a group of transformations on the collection of all bivariate copulas. This group contains an involution which is particularly useful since it provides (1) a criterion under which a given symmetric copula can be transformed into an asymmetric one and (2) a condition under which for a given copula the value of every measure of concordance is equal to zero. The group also contains a subgroup which is of particular interest since its four elements preserve symmetry,...