Copulæ: Some mathematical aspects

Carlo Sempi

Applied Stochastic Models in Business and Industry, 2011, vol. 27, issue 1, 37-50

Abstract: This paper starts with a few critical considerations about the use of copulas in applications, mainly in the field of Mathematical Finance. Two points will be stressed: (i) the construction of asymmetric copulas and (ii) the construction of multivariate copulas. Also, it briefly touches on the long‐standing problem of compatibility. Copyright © 2010 John Wiley & Sons, Ltd.

Date: 2011
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https://doi.org/10.1002/asmb.835

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Persistent link: https://EconPapers.repec.org/RePEc:wly:apsmbi:v:27:y:2011:i:1:p:37-50

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