Basics of copula’s theory

Yury Blagoveschensky ()

Applied Econometrics, 2012, vol. 26, issue 2, 113-130

Abstract: The most important properties of p-variate distributions on the hypercube whose univariate marginals are uniformly distributed on [0; 1] are discussed. These distributions, also called p-copulas, have become a popular tool in order to study financial markets, macroeconomics and other fields. The study of Russian articles shows that in most cases these articles contain a list of several typical copulas and techniques of their using but they hold no discussions about meaning of acts over copulas. The review is an attempt to change for the better this situation, even if it were a little.

Keywords: copula; Sklar’s theorem; Lipschitz condition; product operation on copulas; contingency. (search for similar items in EconPapers)
JEL-codes: C19 C49 C69 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (7)

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