Search
Now showing items 19 of 9

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 ... 
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 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. 
Bridge to abstract mathematics
(WileyBlackwell, 2013) 
Bivariate copulas generated by perturbations
(Elsevier, 2013)In this paper, we provide a family of bivariate copulas based on a perturbation of a given copula by a factor term. The new class generalizes wellknown families of copulas and allows to describe a wide range of possible ... 
An analysis of the dependence among financial markets by spatial contagion
(WileyBlackwell, 2013)Spatial contagion between two financial markets X and Y appears when there is more dependence between X and Y when they are doing badly than when they exhibit typical performance. In this paper, we introduce an index to ...