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

Dietmar Pfeifer, Andreas M\"andle and Olena Ragulina

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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.

New Economics Papers: this item is included in nep-ecm and nep-rmg
Date: 2017-09, Revised 2019-01
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