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Rectangular patchwork for bivariate copulas and tail dependence
Journal article   Peer reviewed

Rectangular patchwork for bivariate copulas and tail dependence

Fabrizio Durante, Susanne Saminger-Platz and Peter Sarkoci
Communications in Statistics - Theory and Methods, Vol.38, pp.2515-2527
38
2009
DOI: https://doi.org/10.1080/03610920802571203
Handle:
https://hdl.handle.net/10863/40155

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.
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doi.org/10.1080/03610920802571203View

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