Univariate conditioning of vine copulas

DOI10.1016/j.jmva.2015.01.016zbMath1321.62055OpenAlexW2041311275MaRDI QIDQ2350041

Piotr Jaworski

Publication date: 18 June 2015

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2015.01.016

zbMATH Keywords

conditional copulatruncation of the first variableunivariate conditioningtail dependence functionvine copulas

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32)

Related Items (4)

Conditioning of copulas: transformations, invariance and measures of concordance ⋮ A Markov product for tail dependence functions ⋮ Truncation invariant copulas and a testing procedure ⋮ On the class of truncation invariant bivariate copulas under constraints

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• On a strong metric on the space of copulas and its induced dependence measure
• Gaussian approximation of conditional elliptical copulas
• Extreme value properties of multivariate \(t\) copulas
• Invariant dependence structures and Archimedean copulas
• An introduction to copulas.
• Bounds for trivariate copulas with given bivariate marginals
• Tails of multivariate Archimedean copulas
• Tail dependence functions and vine copulas
• Copula convergence theorems for tail events.
• Tail dependence from a distributional point of view
• Some results on shuffles of two-dimensional copulas
• Extremal dependence of copulas: a tail density approach
• Conditional copula simulation for systemic risk stress testing
• Limit laws for random vectors with an extreme component
• A Spatial Contagion Test for Financial Markets
• Selection of Vine Copulas
• The Limiting Properties of Copulas Under Univariate Conditioning
• Invariant dependence structure under univariate truncation: the high-dimensional case
• Invariant dependence structure under univariate truncation
• Spatial contagion between financial markets: a copula-based approach
• Truncated regular vines in high dimensions with application to financial data
• Limiting dependence structures for tail events, with applications to credit derivatives
• On uniform tail expansions of multivariate copulas and wide convergence of measures
• The Devil is in the Tails: Actuarial Mathematics and the Subprime Mortgage Crisis
• A Conditional Approach for Multivariate Extreme Values (with Discussion)
• On uniform tail expansions of bivariate copulas

This page was built for publication: Univariate conditioning of vine copulas