Data driven partition-of-unity copulas with applications to risk management

Dietmar Pfeifer, Andreas M\"andle and Olena Ragulina

Papers from arXiv.org

Abstract: We present a constructive and self-contained approach to data driven general partition-of-unity copulas that were recently introduced in the literature. In particular, we consider Bernstein-, negative binomial and Poisson copulas and present a solution to the problem of fitting such copulas to highly asymmetric data.

Date: 2017-03, Revised 2020-11
New Economics Papers: this item is included in nep-ecm and nep-rmg
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