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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.
Anna Petričková, Magda Komorníková (2012)
Kybernetika
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The autocorrelation function describing the linear dependence is not suitable for description of residual dependence of the regime-switching models. In this contribution, inspired by Rakonczai ([20]), we will model the residual dependence of the regime-switching models (SETAR, LSTAR and ESTAR) with the autocopulas (Archimedean, EV and their convex combinations) and construct improved quality models for the original real time series.
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,...