Pairwise and Global Dependence in Trivariate Copula Models

DOI10.1007/978-3-319-08852-5_25zbMath1420.62229OpenAlexW323437921MaRDI QIDQ5227381

Fabrizio Durante, José Juan Quesada-Molina, Roger B. Nelsen, Manuel Úbeda-Flores

Publication date: 26 July 2019

Published in: Information Processing and Management of Uncertainty in Knowledge-Based Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-08852-5_25

zbMATH Keywords

copulastochastic modeldependence

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Related Items (1)

Stochastic representation of FGM copulas using multivariate Bernoulli random variables

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Copulae in mathematical and quantitative finance. Proceedings of the workshop, Cracow, Poland, July 10--11, 2012
• How close are pairwise and mutual independence?
• On the structure and estimation of hierarchical Archimedean copulas
• An introduction to copulas.
• Copula theory and its applications. Proceedings of the workshop held in Warsaw, Poland, 25--26 September 2009
• Bounds for trivariate copulas with given bivariate marginals
• The concept of comonotonicity in actuarial science and finance: theory.
• What makes dependence modeling challenging? Pitfalls and ways to circumvent them
• CDO pricing with nested Archimedean copulas
• Some advances in the study of the compatibility of three bivariate copulas
• A strategy for constructing multivariate distributions
• A stochastic representation and sampling algorithm for nested Archimedean copulas
• A Primer on Copulas for Count Data

This page was built for publication: Pairwise and Global Dependence in Trivariate Copula Models