Work

Exact upper bound for copulas with a given diagonal section

Year: 2024

Type: article

Abstract: We answer a 15-year-old open question about the exact upper bound for bivariate copulas with a given diagonal section by giving an explicit formula for this bound. As an application, we determine the maximal asymmetry of bivariate copulas with a given diagonal section and construct a copula that attains it. We derive a formula for the maximal asymmetry that is simple enough to be used by practitioners.

Source: Fuzzy Sets and Systems

DOI: 10.1016/j.fss.2024.108865

Authors: Damjana Kokol Bukovšek, Blaž Mojškerc, Nik Stopar

Institutions: University of Ljubljana, Institute of Mathematics, Physics, and Mechanics

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: hybrid

Estimated APC paid: $2,680

OpenAlex ID: W4390887147

FWCI: 2.144

Cites: 29

Cited by: 6

Related to: 10