Outline Introduction Semi-parametric dynamic copula Motivation Local likelihood estimation Variance of the estimator Bias of the estimator Bandwidth selection Estimation of joint likelihood Modeling of marginal distributions Simulations and applications Simulations Empirical example Conclusions Problems and Solutions Problems Modeling dependence is critical for financial time series Model volat...

We provide a method for constructing a class of multivariate copulas depending on a univariate function. We study some properties of this class and present several examples. The same circle of ideas is used in a similar construction of quasi–copulas.

Multivariate measures of association are considered which, in the bivariate case, coincide with the population version of Spearman’s rho. For these measures, nonparametric estimators are introduced via the empirical copula. Their asymptotic normality is established under rather weak assumptions concerning the copula. The asymptotic variances are explicitly calculated for some copulas of simple ...

We characterize the class of copulas that can be constructed from the diagonal section by means of the functional equation C(x∨y, x∨y) = C(x, y)+ |x− y|, for all (x, y) in the unit square such that C(x, y) > 0. A simple construction method for copulas is also given.

The underlying dependence structure between two random variables can be described in manifold ways. This includes the examination of certain properties such as lower tail decreasingness (LTD), stochastic increasingness (SI) or total positivity order 2, latter usually considered for a copula (TP2) (if existent) its density (d-TP2). In present paper we investigate 2 copula's Markov kernel (MK-TP2...

In this paper, the residual probability function is applied to analyze survival of two used components relative each other in case when their lifetimes are dependent. The expression by copulas has been derived along with some examples particular copulas. behaviour terms underlying dependence also discussed. order considered dependent case. class Archimedean copulas, we prove that implies usual ...

When I started writing the paper [19] in 2003 a Google search of the word “copula” gave 10,000 responses. In September 2005 the same search gives 650,000 responses. There is an explosion of activity. What is going on? Many of the web-sites found in the Google search are related to mathematical finance, statistics, extreme value theory, and risk management. Everybody who opens any journal on sto...

A new method to construct aggregation functions is introduced. These aggregation functions are called biconic aggregation functions with a given diagonal (resp. opposite diagonal) section and their construction method is based on linear interpolation on segments connecting the diagonal (resp. opposite diagonal) of the unit square and the points (0, 1) and (1, 0) (resp. (0, 0) and (1, 1)). Speci...

In this paper, we provide a new family of trivariate proper quasi-copulas. As an application, we show that W 3 – the best-possible lower bound for the set of trivariate quasicopulas (and copulas) – is the limit member of this family, showing how the mass of W 3 is distributed on the plane x + y + z = 2 of [0, 1] in an easy manner, and providing the generalization of this result to n dimensions.

Condition (C3) is called the 2–increasing property of C, and VC ([x1, x2]× [y1, y2]) is called the C–volume of the rectangle [x1, x2]× [y1, y2]. According to Sklar’s Theorem, copulas are functions that express the rankinvariant dependence between a pair of continuous random variables and, as such, they have been largely used in statistical applications . In particular, examples of copulas are g...