Solution to an open problem about a transformation on the space of copulas

Fabrizio Durante; Juan Fernández-Sánchez; Wolfgang Trutschnig

doi:10.2478/demo-2014-0005

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Solution to an open problem about a transformation on the space of copulas

Journal article

Open access

Peer reviewed

Solution to an open problem about a transformation on the space of copulas

Fabrizio Durante, Juan Fernández-Sánchez and Wolfgang Trutschnig

Dependence Modeling, Vol.2(1), pp.65-72

2014

DOI: https://doi.org/10.2478/demo-2014-0005

Handle:

https://hdl.handle.net/10863/780

Abstract

Quantitative methods and economic modeling

Copulas

Tail dependence

Quantitative risk management

We solve a recent open problem about a new transformation mapping the set of copulas into itself. The obtained mapping is characterized in algebraic terms and some limit results are proved.

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Details

Title: Solution to an open problem about a transformation on the space of copulas
Creators: Fabrizio Durante
Juan Fernández-Sánchez
Wolfgang Trutschnig
Publication Details: Dependence Modeling, Vol.2(1), pp.65-72
ISSN: 2300-2298
Series / Volume: 2
Publisher: De Gruyter Open
Number of pages: 8
Identifiers: (UNIBZ)1644320
991005773276901241
Web of Science ID: WOS:000434627000005
Scopus ID: 2-s2.0-85043991950
Academic Unit: Faculty of Economics and Management
Language: English
Resource Type: Journal article
Author Names String: Durante F, Fernández-Sánchez J, Trutschnig W
Additional Description: Projected: 3426
unibz-area: Quantitative methods and economic modeling
ERC: Statistics
ERCCODE: PE1_14
MIURSSD: Statistica
MIURSSDCODE: SECS-S/01

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