A new family of nonexchangeable copulas for positive dependence

Roy Cerqueti and Claudio Lupi

Economics & Statistics Discussion Papers from University of Molise, Department of Economics

Abstract: This note contributes to the development of the theory of stochastic dependence by employing the general concept of copula. In particular, it deals with the construction of a new family of non-exchangeable copulas characterizing the multivariate total positivity of order 2 (MTP2) dependence.

Keywords: Copulas; MTP2 dependence; Non-exchangeability (search for similar items in EconPapers)
JEL-codes: C19 C39 (search for similar items in EconPapers)
Pages: 8
Date: 2014-11-23
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:mol:ecsdps:esdp14075

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