New copulas based on general partitions-of-unity and their applications to risk management (part II)

Pfeifer Dietmar (), Mändle Andreas () and Ragulina Olena ()
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Pfeifer Dietmar: Carl von Ossietzky Universität Oldenburg, Oldenburg, Germany
Mändle Andreas: Carl von Ossietzky Universität Oldenburg, Oldenburg, Germany
Ragulina Olena: Taras Shevchenko National University of Kyiv, Kyiv, Ukraine

Dependence Modeling, 2017, vol. 5, issue 1, 246-255

Abstract: We present a constructive and self-contained approach to data driven infinite partition-of-unity copulas that were recently introduced in the literature. In particular, we consider negative binomial and Poisson copulas and present a solution to the problem of fitting such copulas to highly asymmetric data in arbitrary dimensions.

Keywords: copulas; partition-of-unity; tail dependence; asymmetry (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:vrs:demode:v:5:y:2017:i:1:p:246-255:n:14

DOI: 10.1515/demo-2017-0014

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