Bivariate Copulas Based on Counter-Monotonic Shock Method

Farid El Ktaibi, Rachid Bentoumi, Nicola Sottocornola and Mhamed Mesfioui ()
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Farid El Ktaibi: Department of Mathematics and Statistics, Zayed University, Abu Dhabi 144534, United Arab Emirates
Rachid Bentoumi: Department of Mathematics and Statistics, Zayed University, Abu Dhabi 144534, United Arab Emirates
Nicola Sottocornola: Department of Mathematics and Statistics, Zayed University, Abu Dhabi 144534, United Arab Emirates
Mhamed Mesfioui: Département de Mathématiques et d’Informatiques, Université du Québec à Trois-Rivières, Trois- Rivières, QC G8Z 4M3, Canada

Risks, 2022, vol. 10, issue 11, 1-20

Abstract: This paper explores the properties of a family of bivariate copulas based on a new approach using the counter-monotonic shock method. The resulting copula covers the full range of negative dependence induced by one parameter. Expressions for the copula and density are derived and many theoretical properties are examined thoroughly, including explicit expressions for prominent measures of dependence, namely Spearman’s rho, Kendall’s tau and Blomqvist’s beta. The convexity properties of this copula are presented, together with explicit expressions of the mixed moments. Estimation of the dependence parameter using the method of moments is considered, then a simulation study is carried out to evaluate the performance of the suggested estimator. Finally, an application of the proposed copula is illustrated by means of a real data set on air quality in New York City.

Keywords: bivariate copula; counter-monotonic; negative dependence; singularity; financial risk; statistical modeling (search for similar items in EconPapers)
JEL-codes: C G0 G1 G2 G3 K2 M2 M4 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:gam:jrisks:v:10:y:2022:i:11:p:202-:d:951495

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