Copulas with given values on a horizontal and a vertical section

Fabrizio Durante · Anna Kolesárová · Radko Mesiar · Carlo Sempi

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Financial Risk and Volatility Modeling Probability and Statistical Research Advanced Algebra and Logic

Abstract

In this paper we study the set of copulas for which both a horizontal section and a vertical section have been given. We give a general construction for copulas of this type and we provide the lower and upper copulas with these sections. Symmetric copulas with given horizontal section are also discussed, as well as copulas defined on a grid of the unit square. Several examples are presented.

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References

1999An Introduction to Copulas 2005Quantitative Risk Management: Concepts, Techniques, and Tools 1994Fuzzy Preference Modelling and Multicriteria Decision Support 2004Copula Methods in Finance 2007Everything You Always Wanted to Know about Copula Modeling but Were Afraid to Ask 1998Understanding Relationships Using Copulas 1973Random variables, joint distribution functions, and copulas 2014Extremes in Nature: An Approach Using Copulas

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