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On a strong metric on the space of copulas and its induced dependence measure · Study

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ArticleOn a strong metric on the space of copulas and its induced dependence measure

Wolfgang Trutschnig2011

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Articlebronze2011

On a strong metric on the space of copulas and its induced dependence measure

Wolfgang Trutschnig

110 citations·0/0 files stored·Journal of Mathematical Analysis and Applications

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Financial Risk and Volatility Modeling Probability and Statistical Research Mathematical Dynamics and Fractals

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References

1999An Introduction to Copulas 2010Copula Theory and Its Applications 1981On Nonparametric Measures of Dependence for Random Variables 1992Copulas and Markov processes 2010Copula Theory: An Introduction

Cited by

2016On the Exact Region Determined by Kendall's τ and Spearman's ρ 2016CoVaR of families of copulas 2014Conditioning-based metrics on the space of multivariate copulas and their interrelation with uniform and levelwise convergence and Iterated Function Systems 2022Global sensitivity analysis: A novel generation of mighty estimators based on rank statistics 2020Estimating scale-invariant directed dependence of bivariate distributions 2021On weak conditional convergence of bivariate Archimedean and Extreme Value copulas, and consequences to nonparametric estimation 2022qad : An R‐package to detect asymmetric and directed dependence in bivariate samples

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Year2011

Typearticle

Published2011-06-23

VenueJournal of Mathematical Analysis and Applications

ISSN-L0022-247X

Languageen

Citations110

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jmaa.2011.06.013

openalex_workW2057786874

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