Threshold copulas and positive dependence

DOI10.1016/J.SPL.2008.04.013zbMath1148.62032OpenAlexW2107859768MaRDI QIDQ956362

Fabrizio Durante, Rachele Foschi, Fabio L. Spizzichino

Publication date: 25 November 2008

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: http://eprints.imtlucca.it/706/1/Durante_Foschi_Spizzichino_Revision.pdf

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Related Items (17)

Dependence of exchangeable residual lifetimes subject to failure ⋮ A positive dependence notion based on componentwise unimodality of copulas ⋮ Invariant dependence structure under univariate truncation ⋮ On the Characterization of Copulas by Differential Equations ⋮ On \(k\)-out-of-\(n\) systems with homogeneous components and one independent cold standby redundancy ⋮ Gaussian approximation of conditional elliptical copulas ⋮ Aging and ordering properties of multivariate lifetimes with Archimedean dependence structures ⋮ Stochastic comparisons and bounds for conditional distributions by using copula properties ⋮ Evolution of the Dependence of Residual Lifetimes ⋮ Unnamed Item ⋮ Unnamed Item ⋮ Spatial contagion between financial markets: a copula-based approach ⋮ Limiting Tail Dependence Copulas ⋮ Distortion representations of multivariate distributions ⋮ Invariant dependence structure under univariate truncation: the high-dimensional case ⋮ Unnamed Item ⋮ Copulas Based on Marshall–Olkin Machinery

Uses Software

• QRM

Cites Work

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• Weighted approximations of tail copula processes with application to testing the bivariate extreme value condition
• An introduction to copulas.
• A framework for positive dependence
• Copula convergence theorems for tail events.
• Tail dependence from a distributional point of view
• Conjunctors and their residual implicators: characterizations and construction methods
• Limiting dependence structures for tail events, with applications to credit derivatives

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