New copulas based on general partitions-of-unity and their applications to risk management

Dietmar Pfeifer, Herv\'e Awoumlac Tsatedem, Andreas M\"andle and C\^ome Girschig

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Abstract: We construct new multivariate copulas on the basis of a generalized infinite partition-of-unity approach. This approach allows - in contrast to finite partition-of-unity copulas - for tail-dependence as well as for asymmetry. A possibility of fitting such copulas to real data from quantitative risk management is also pointed out.

Date: 2015-05, Revised 2019-01
New Economics Papers: this item is included in nep-ecm and nep-rmg
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Citations: View citations in EconPapers (2)

Published in Dependence Modeling (2016), 123 - 140

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1505.00288

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