We show that there exist bivariate proper quasi-copulas that do not induce a doubly stochastic signed measure on [0, 1]. We construct these quasi-copulas from the so-called proper quasitransformation square matrices.

Do there exist circular and spherical copulas in [Formula: see text]? That is, do there exist circularly symmetric distributions on the unit disk in [Formula: see text] and spherically symmetric distributions on the unit ball in [Formula: see text], d ≥ 3, whose one-dimensional marginal distributions are uniform? The answer is yes for d = 2 and 3, where the circular and spherical copulas are un...

Abstract. This paper proposes a general non-Gaussian Ornstein-Uhlenbeck model for a joint financial process based on marginal Lévy measures joined by a Lévy copula. Simulated processes then result from choices of marginal measures and Lévy copulas, with resulting statistics and inferences. Selected for analysis are the 3/2-stable and Gamma marginal Lévy measures, along with Clayton, Gumbel, and...

The aim of this work is studying the use of copulas and vines in numerical optimization with Estimation of Distribution Algorithms (EDAs). Two EDAs built around the multivariate product and normal copulas, and other two based on pair-copula decomposition of vine models are studied. We analyze empirically the effect of both marginal distributions and dependence structure in order to show that bo...

Motivated by the wide applications of distortion function and copulas in insurance and finance, this paper generalizes the notion of deterministic distortion function to a stochastic distortion function, i.e., a random process, and employs the defined stochastic distortion function to construct a so-called stochastic distorted copula. One method for constructing stochastic distortions is provid...

In this paper, we address two important issues in semiparametric survival model selection for censored data generated by the Archimedean copula family: method of estimating the parametric copulas and data reuse. We demonstrate that for selection among candidate copula models that could all be misspecified, estimators of the parametric copulas based on minimizing the selection criterion function...

The mixture property of the general multivariate Pareto MP distributions has been studied by Yeh (2004a). Arnold (1996) mentioned that any mixing distribution with support (0,∞) is a candidate for a frailty model. This fact drives Yeh to study the frailty structure of the MP distributions. It is discerned that the MP distributions is in the one-parameter kvariate Clayton family with k-variate A...

We introduce a statistical test for comparing the predictive accuracy of competing copula specifications in multivariate density forecasts, based on the Kullback-Leibler Information Criterion (KLIC). The test is valid under general conditions on the competing copulas: in particular it allows for parameter estimation uncertainty and for the copulas to be nested or non-nested. Monte Carlo simulat...

This paper presents an overview of the literature on applications of copulas in the modelling of …nancial time series. Copulas have been used both in multivariate time series analysis, where they are used to charaterise the (conditional) cross-sectional dependence between individual time series, and in univariate time series analysis, where they are used to characterise the dependence between a...

The theory of copulas provides a useful tool for modeling dependence in risk management. In insurance and finance, as well as in other applications, dependence of extreme events is particularly important, hence there is a need for the detailed study of the tail behaviour of the multivariate copulas. In this paper we investigate the class of copulas having homogeneous lower tails. We show that h...