منابع مشابه
Invariant dependence structures and Archimedean copulas
We consider a family of copulas that are invariant under univariate truncation. Such a family has some distinguishing properties: it is generated by means of a univariate function; it can capture non-exchangeable dependence structures; it can be easily simulated. Moreover, such a class presents strong probabilistic similarities with the class of Archimedean copulas from a theoretical and practi...
متن کاملCopulas and Temporal Dependence
In this paper I identify a condition on the finite dimensional copulas of a univariate time series that ensures the series is weakly dependent in the sense of Doukhan and Louhichi (1999). This condition relates to the Kolmogorov-Smirnov distance between the joint copula of a group of variables in the past and a group of variables in the future, and the copula that would obtain if the past and f...
متن کاملCopulas, diagonals, and tail dependence
We present some known and novel aspects about bivariate copulas with prescribed diagonal section by highlighting their use in the description of the tail dependence. Moreover, we present the tail concentration function (which depends on the diagonal section of a copula) as a tool to give a description of tail dependence at finite scale. The tail concentration function is hence used to introduce...
متن کاملArchimedean Copulas and Temporal Dependence
A central aspect of time series analysis is the modeling of dependence over time. Workhorse time series models such as the autoregressive moving average (ARMA) model popularized by Box and Jenkins (1970), the generalized autoregressive conditional heteroskedasticity (GARCH) model of Engle (1982) and Bollerslev (1986), or the autoregressive conditional duration (ACD) model of Engle and Russell (...
متن کاملCopulas and dependence mea- surement
Copulas are a general tool for assessing the dependence structure of random variables. Important properties as well as a number of examples are discussed, including Archimedean copulas and the Marshall-Olkin copula. As measures of the dependence we consider linear correlation, rank correlation, the coefficients of tail dependence and association. Copulas are a tool for modeling and capturing th...
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ژورنال
عنوان ژورنال: Insurance: Mathematics and Economics
سال: 2017
ISSN: 0167-6687
DOI: 10.1016/j.insmatheco.2017.03.003