Rectangular Patchwork for Bivariate Copulas and Tail Dependence

200974 citationsJournal Article

Authors

Fabrizio Durante · Johannes Kepler University of Linz

Susanne Saminger‐Platz · Johannes Kepler University of Linz

Peter Sarkoci · Johannes Kepler University of Linz

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.

Topics & Keywords

Financial Risk and Volatility Modeling Probability and Risk Models Credit Risk and Financial Regulations

Publication Details

Published in: Communication in Statistics- Theory and Methods

Volume 38, Issue 15, pp. 2515-2527

DOI: 10.1080/03610920802571203

Field-Weighted Citation Impact: 5.97

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Rectangular Patchwork for Bivariate Copulas and Tail Dependence

Authors

Abstract

Topics & Keywords

Publication Details