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    • Invariant dependence structure under univariate truncation 

      Durante, F; Jaworski, P (Taylor & Francis: STM, Behavioural Science and Public Health Titles, 2012)
      The class of all bivariate copulas that are invariant under univariate truncation is characterized. To this end, a family of bivariate copulas generated by a real-valued function is introduced. The obtained results are ...
    • A spatial contagion measure for financial time series 

      Durante, F; Foscolo, E; Jaworski, P; Wang, H (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 ...