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Truncation invariant copulas and a testing procedure

Published:2015-11-05 Issue:12 Volume:86 Page:2362-2378
ISSN:0094-9655
Container-title:Journal of Statistical Computation and Simulation
language:en
Short-container-title:Journal of Statistical Computation and Simulation

Author:

Di Lascio F. Marta L.,Durante Fabrizio,Jaworski Piotr

Publisher

Informa UK Limited

Subject

Applied Mathematics,Statistics, Probability and Uncertainty,Modelling and Simulation,Statistics and Probability

Link

http://www.tandfonline.com/doi/pdf/10.1080/00949655.2015.1110820

Reference33 articles.

1. Tail comonotonicity: Properties, constructions, and asymptotic additivity of risk measures

2. Copules archimédiennes et families de lois bidimensionnelles dont les marges sont données

3. Limiting dependence structures for tail events, with applications to credit derivatives

Cited by 7 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. On copulas with a trapezoid support;Dependence Modeling;2023-01-01

2. On the measure induced by copulas that are invariant under univariate truncation;Fuzzy Sets and Systems;2022-12

3. Ordinal sums: From triangular norms to bi- and multivariate copulas;Fuzzy Sets and Systems;2022-12

4. On the class of truncation invariant bivariate copulas under constraints;Journal of Mathematical Analysis and Applications;2022-05

5. On Truncation Invariant Copulas and their Estimation;Dependence Modeling;2017-01-26

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