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Modeling Asymmetric Dependence of Financial Returns with Multivariate Dynamic Copulas

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Valentin Braun | Martin Grizska

https://doi.org/10.2139/ssrn.1826287 Actions

Solution to an open problem about a transformation on the space of copulas

JOURNAL ARTICLE published 10 January 2014 in Dependence Modeling

Authors: Fabrizio Durante | Juan Fernández-Sánchez | Wolfgang Trutschnig

https://doi.org/10.2478/demo-2014-0005 Actions

The multivariate normal distribution and copulas

BOOK CHAPTER published 2023 in Simulation

Authors: Sheldon M. Ross

https://doi.org/10.1016/b978-0-32-385738-3.00011-0 Actions

GRANT published

https://doi.org/10.55776/j2636 Actions

A class of multivariate copulas with bivariate Fréchet marginal copulas

JOURNAL ARTICLE published August 2009 in Insurance: Mathematics and Economics

Authors: Jingping Yang | Yongcheng Qi | Ruodu Wang

https://doi.org/10.1016/j.insmatheco.2009.05.007 Actions

Multivariate anisotropic spatial modelling and sampling design using copulas

DISSERTATION published

Authors: Mohomed Abraj Mohomed Haseem Mohomed Amsar

https://doi.org/10.5204/thesis.eprints.240766 Actions

Goodness-of-Fit Tests for Copulas of Multivariate Time Series

POSTED CONTENT published

Authors: Bruno Rémillard

https://doi.org/10.20944/preprints201703.0117.v1 Actions

Definitions and Basic Properties

BOOK CHAPTER published 1999 in An Introduction to Copulas

Authors: Roger B. Nelsen

https://doi.org/10.1007/978-1-4757-3076-0_2 Actions

Copulas, diagonals, and tail dependence

JOURNAL ARTICLE published April 2015 in Fuzzy Sets and Systems

Research funded by Ministero de Ciencia e Innovación (MTM2011-22394)

Authors: Fabrizio Durante | Juan Fernández-Sánchez | Roberta Pappadà

https://doi.org/10.1016/j.fss.2014.03.014 Actions

Multivariate Dependence beyond Correlation: Nonparametric Copulas

POSTED CONTENT published

Authors: Sujit Ghosh

https://doi.org/10.52843/cassyni.ms603h Actions

Construction of asymmetric multivariate copulas

JOURNAL ARTICLE published November 2008 in Journal of Multivariate Analysis

Authors: Eckhard Liebscher

https://doi.org/10.1016/j.jmva.2008.02.025 Actions

Baire category results for exchangeable copulas

JOURNAL ARTICLE published February 2016 in Fuzzy Sets and Systems

Research funded by Ministerio de Ciencia e Innovación (MTM2011-22394)

Authors: Fabrizio Durante | Juan Fernández-Sánchez | Wolfgang Trutschnig

https://doi.org/10.1016/j.fss.2015.04.010 Actions

Intervals of 1-Lipschitz aggregation operators, quasi-copulas, and copulas with given affine section

JOURNAL ARTICLE published October 2007 in Monatshefte für Mathematik

Authors: Erich Peter Klement | Anna Kolesárová

https://doi.org/10.1007/s00605-007-0460-x Actions

On a new construction of 1-Lipschitz aggregation functions, quasi-copulas and copulas

JOURNAL ARTICLE published September 2013 in Fuzzy Sets and Systems

Authors: Anna Kolesárová | Radko Mesiar | Jana Kalická

https://doi.org/10.1016/j.fss.2013.01.005 Actions

On a class of transformations of copulas and quasi-copulas

JOURNAL ARTICLE published February 2009 in Fuzzy Sets and Systems

Authors: Elisabetta Alvoni | Pier Luigi Papini | Fabio Spizzichino

https://doi.org/10.1016/j.fss.2008.03.025 Actions

Sibuya copulas

JOURNAL ARTICLE published February 2013 in Journal of Multivariate Analysis

Authors: Marius Hofert | Frédéric Vrins

https://doi.org/10.1016/j.jmva.2012.08.007 Actions

Extensions of Discrete Copulas to Sparse Copulas

JOURNAL ARTICLE published November 2021 in IEEE Transactions on Fuzzy Systems

Authors: Juan Fernandez-Sanchez | Jose Juan Quesada-Molina | Manuel Ubeda-Flores

https://doi.org/10.1109/tfuzz.2020.3021906 Actions

Copulas Constructed from Diagonal Sections

BOOK CHAPTER published 1997 in Distributions with given Marginals and Moment Problems

Authors: Gregory A. Fredricks | Roger B. Nelsen

https://doi.org/10.1007/978-94-011-5532-8_16 Actions

Univariate conditioning of vine copulas

JOURNAL ARTICLE published June 2015 in Journal of Multivariate Analysis

Authors: Piotr Jaworski

https://doi.org/10.1016/j.jmva.2015.01.016 Actions

-extendible copulas

JOURNAL ARTICLE published September 2012 in Journal of Multivariate Analysis

Authors: Jan-Frederik Mai | Matthias Scherer

https://doi.org/10.1016/j.jmva.2012.03.011 Actions
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