Articlegold2016

Multivariate measures of concordance for copulas and their marginals

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28 citations0/0 files storedDependence Modeling

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Financial Risk and Volatility Modeling Probability and Statistical Research Multidisciplinary Science and Engineering Research

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Abstract Building upon earlier work in which axioms were formulated for multivariate measures of concordance, we examine properties of such measures. In particular,we examine the relations between the measure of concordance of an n-copula and the measures of concordance of the copula’s marginals.

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2014Multivariate copulas: Transformations, symmetry, order and measures of concordance 2020Relation between non-exchangeability and measures of concordance of copulas 2022On the exact region determined by Spearman’s footrule and Gini’s gamma 2023Quantifying directed dependence via dimension reduction 2023On the exact region determined by Spearman’s rho and Spearman’s footrule 2023On the Exact Regions Determined by Kendall’s Tau and Other Concordance Measures

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