Multivariate comonotonicity

Giovanni Puccetti and Marco Scarsini

Journal of Multivariate Analysis, 2010, vol. 101, issue 1, 291-304

Abstract: In this paper we consider several multivariate extensions of comonotonicity. We show that naive extensions do not enjoy some of the main properties of the univariate concept. In order to have these properties, more structures are needed than in the univariate case.

Keywords: Cyclical; monotonicity; Rearrangements; Optimal; coupling; Copula; Supermodular; function (search for similar items in EconPapers)
Date: 2010
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (40)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0047-259X(09)00135-3
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Multivariate comonotonicity (2010)
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:eee:jmvana:v:101:y:2010:i:1:p:291-304

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Journal of Multivariate Analysis is currently edited by de Leeuw, J.

More articles in Journal of Multivariate Analysis from Elsevier
Bibliographic data for series maintained by Catherine Liu ().