New copulas based on general partitions-of-unity and their applications to risk management (part II)

Dietmar Pfeifer, Andreas M\"andle and Olena Ragulina

Papers from arXiv.org

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

Date: 2017-09, Revised 2019-01
New Economics Papers: this item is included in nep-ecm and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Published in Dependence Modeling (2017), 246 - 255

Downloads: (external link)
http://arxiv.org/pdf/1709.07682 Latest version (application/pdf)

Related works:
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:arx:papers:1709.07682

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().