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New copulas based on general partitions-of-unity and their applications to risk management
2016
Dependence Modeling
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AbstractWe 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.
doi:10.1515/demo-2016-0006
fatcat:psv5xetirjh4jpu2bfp5pugl7m