Rectangular Patchwork for Bivariate Copulas and Tail Dependence

Fabrizio Durante · Susanne Saminger‐Platz · Peter Sarkoci

72 citations0/0 files storedCommunication in Statistics- Theory and Methods

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Financial Risk and Volatility Modeling Statistical Distribution Estimation and Applications Probability and Risk Models

Abstract

We present a method for constructing bivariate copulas by changing the values that a given copula assumes on some subrectangles of the unit square. Some applications of this method are discussed, especially in relation to the construction of copulas with different tail dependencies.

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References

1999An Introduction to Copulas 2004Copula Methods in Finance 2011Quantitative Risk Management 2014Extremes in Nature: An Approach Using Copulas 2012Quantitative Risk Management 2007A Primer on Copulas for Count Data 2007A Primer on Copulas for Count Data 2006Extreme Financial Risks : From Dependence to Risk Management

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2009Spatial contagion between financial markets: a copula‐based approach 2011Characterization of all copulas associated with non-continuous random variables 2014Copulas, diagonals, and tail dependence 2010Invariant dependence structure under univariate truncation 2010A New Characterization of Bivariate Copulas 2008Univariate conditioning of copulas 2013Multivariate patchwork copulas: A unified approach with applications to partial comonotonicity

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