New copulas based on general partitions-of-unity and their applications to risk management
Work
Year: 2016
Type: article
Abstract: We construct new multivariate copulas on the basis of a generalized infinite partition-of-unity approach. This approach allows, in contrast to finite partition-of-unity copulas, for tail-dependence a... more
Source: Dependence Modeling
Cites: 24
Cited by: 13
Related to: 10
FWCI: 2.193
Citation percentile (by year/subfield): 89.04
Subfield: Finance
Domain: Social Sciences
Open Access status: gold
APC paid (est): $1,078