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Multivariate patchwork copulas: A unified approach with applications to partial comonotonicity
(2013)We present a general view of patchwork constructions of copulas that encompasses previous approaches based on similar ideas (ordinal sums, gluing methods, piecingtogether, etc.). Practical applications of the new methodology ... 
Copulas, Tail Dependence and Applications to the Analysis of Financial Time Series
(Springer, 2013)Tail dependence is an important property of a joint distribution function that has a huge impact on the determination of risky quantities associated to a stochastic model (ValueatRisk, for instance). Here we aim at ... 
Supermigrative copulas and positive dependence
(Springer Verlag (Germany), 2012)Recent investigations about notions of bivariate aging have underlined the need to introduce some new properties of positive dependence for a bivariate random vector. Here, by using the recent notion of supermigrativity ... 
How to Prove Sklar's Theorem
(Springer, 2013)In this contribution we stress the importance of Sklar's theorem and present a proof of this result that is based on the compactness of the class of copulas (proved via elementary arguments) and the use of mollifiers. More ... 
A spatial contagion measure for financial time series
(Elsevier, 2014)A novel spatial contagion measure is proposed that is based on the calculation of suitable conditional Spearman’s correlations extracted from the financial time series of interest. Algorithms for the numerical estimation ... 
Clustering of financial time series in risky scenarios
(2014)A methodology is presented for clustering financial time series according to the association in the tail of their distribution. The procedure is based on the calculation of suitable pairwise conditional Spearman’s correlation ... 
Sklar's theorem obtained via regularization techniques
(Elsevier, 2012)Sklar’s theorem establishes the connection between a joint ddimensional distribution function and its univariate marginals. Its proof is straightforward when all the marginals are continuous. The hard part is the extension ... 
A note on the notion of singular copula
(Elsevier, 2013)We clarify the link between the notion of singular copula and the concept of support of the measure induced by a copula. 
A topological proof of Sklar's theorem
(2013)We present a proof of Sklar's Theorem that uses topological arguments, namely compactness (under the weak topology) of the class of copulas and some density properties of the class of distribution functions.