Work

Copulas with given values on a horizontal and a vertical section

Year: 2007

Type: other

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.

Source: Czech digital mathematics library

Authors: Fabrizio Durante, Anna Kolesárová, Radko Mesiar, Carlo Sempi

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

Funder: Vedecká Grantová Agentúra MŠVVaŠ SR a SAV

Award: Hybridné predpovedné modely pre predpovedanie priebehu.a neistoty odhadu povodňových prietokov v reálnom čase..

OpenAlex ID: W155995497

Cites: 25

Cited by: 32

Related to: 10