New copulas based on general partitions-of-unity and their applications to risk management

Pfeifer Dietmar, Tsatedem Hervé Awoumlac, Mändle Andreas and Girschig Côme
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Pfeifer Dietmar: Carl von Ossietzky Universität Oldenburg, Germany
Tsatedem Hervé Awoumlac: Carl von Ossietzky Universität Oldenburg, Germany
Mändle Andreas: Carl von Ossietzky Universität Oldenburg, Germany
Girschig Côme: École Nationale des Ponts et Chaussées, Paris, France

Dependence Modeling, 2016, vol. 4, issue 1, 18

Abstract: We 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.

Keywords: copulas; partition-of-unity; tail dependence; asymmetry (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:vrs:demode:v:4:y:2016:i:1:p:123-140:n:6

DOI: 10.1515/demo-2016-0006

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