Some Extensions of Singular Mixture Copulas

Dominic Lauterbach () and Dietmar Pfeifer ()
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Dominic Lauterbach: Institut für Mathematik, Carl von Ossietzky Universität Oldenburg
Dietmar Pfeifer: Institut für Mathematik, Carl von Ossietzky Universität Oldenburg

A chapter in Mathematical Statistics and Limit Theorems, 2015, pp 271-286 from Springer

Abstract: Abstract In Lauterbach (ZVersWiss, 101(5), 605–619, 2012) and Lauterbach and Pfeifer (Copulae in mathematical and quantitative finance, Springer, Dordrecht, 2013) the family of Singular Mixture Copulas was introduced. We present and discuss two extensions of these copulas. Both extensions are based on an approach introduced by Khoudraji (Contributions à l’étude des copules et à la modélisation des valeurs extrêmes bivariées. Ph.D. thesis, 1995). We study the dependence properties of the constructed copulas and show that the resulting copulas possess differing upper and lower tail dependence coefficients.

Keywords: Mixture Copula; ZVersWiss; Lower Tail Dependence Coefficient; Singular Copula; Absolute Continuity (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-319-12442-1_15

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DOI: 10.1007/978-3-319-12442-1_15

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