Evolution of multivariate copulas in continuous and discrete processes

Yasukazu Yoshizawa and Naoyuki Ishimura

Intelligent Systems in Accounting, Finance and Management, 2018, vol. 25, issue 1, 44-59

Abstract: There has been much interest in copulas, which are known to provide a flexible tool for analyzing the dependence structure among random variables. Dependence relations must be dynamic rather than static in nature. However, copulas are useful mainly for static matters. Thus we introduce evolving multivariate copulas, which transform through time autonomously governed by the multivariate heat equation. Our aims are to prove their existences and solutions to analyze their transitions. Moreover, we construct discrete type to apply empirical data analysis and investigate their properties, and prove that they converge to their original continuous type.

Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://doi.org/10.1002/isaf.1420

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wly:isacfm:v:25:y:2018:i:1:p:44-59

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=1099-1174

Access Statistics for this article

More articles in Intelligent Systems in Accounting, Finance and Management from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley Content Delivery ().