Related papers: Non-exchangeability of copulas arising from shock …
This work provides a study of parameter estimators based on functions of Markov chains generated by some perturbations of the independence copula. We provide asymptotic distributions of maximum likelihood estimators and confidence intervals…
The decreasing enumeration of the points of a Poisson random measure whose mean measure has finite survival function on the positive half-axis can be represented as a non-increasing function of the jump times of a standard Poisson process.…
Copulas have become an important tool in the modern best practice Enterprise Risk Management, often supplanting other approaches to modelling stochastic dependence. However, choosing the `right' copula is not an easy task, and the…
Extreme-value copulas arise as the limiting dependence structure of component-wise maxima. Defined in terms of a functional parameter, they are one of the most widespread copula families due to their flexibility and ability to capture…
Estimation of extreme value copulas is often required in situations where available data are sparse. Parametric methods may then be the preferred approach. A possible way of defining parametric families that are simple and, at the same…
Based on recent progress in research on copula based dependence measures, we review the original Renyi's axioms on symmetric measures and propose a new set of axioms that applies to nonsymmetric measures. We show that nonsymmetric measures…
We derive sharp upper and lower bounds for the pointwise concentration function of the maximum statistic of $d$ identically distributed real-valued random variables. Our first main result places no restrictions either on the common marginal…
This paper studies the asymptotic convergence of computed dynamic models when the shock is unbounded. Most dynamic economic models lack a closed-form solution. As such, approximate solutions by numerical methods are utilized. Since the…
When scholars study joint distributions of multiple variables, copulas are useful. However, if the variables are not linearly correlated with each other yet are still not independent, most of conventional copulas are not up to the task.…
Almost seventy years old Marshall-Olkin copulas, then wider Marshall copulas, and finally even wider shock model (SM) copulas constitute a substantial part of nowadays copula theory due to numerous applications. Recently, Christian Genest…
Most common parametric families of copulas are totally ordered, and in many cases they are also positively or negatively regression dependent and therefore they lead to monotone regression functions, which makes them not suitable for…
We propose the extension of Fr\'{e}chet-Hoeffding copula bounds for circular data. The copula is a powerful tool for describing the dependency of random variables. In two dimensions, the Fr\'{e}chet-Hoeffding upper (lower) bound indicates…
In this paper our aim is to characterize the set of extreme points of the set of all n-dimensional copulas (n > 1). We have shown that a copula must induce a singular measure with respect to Lebesgue measure in order to be an extreme point…
Under a mild condition we give closed-form expressions for copulas of systems that consist of maxima and of minima of subvectors of a given random vector $X$ with continuous marginals. Said expressions appear explicit in the copula of $X$…
This paper lays out a principled approach to compare copula forecasts via strictly consistent scores. We first establish the negative result that, in general, copulas fail to be elicitable, implying that copula predictions cannot sensibly…
Copulas are mathematical objects that fully capture the dependence structure among random variables and hence, offer a great flexibility in building multivariate stochastic models. In statistics, a copula is used as a general way of…
We propose a new test for the hypothesis that a bivariate copula is an Archimedean copula. The test statistic is based on a combination of two measures resulting from the characterization of Archimedean copulas by the property of…
We propose a new goodness-of-fit test for copulas, based on empirical copula processes and their nonparametric bootstrap counterparts. The standard Kolmogorov-Smirnov type test for copulas that takes the supremum of the empirical copula…
We propose a model and an estimation technique to distinguish systemic risk and contagion in credit risk. The main idea is to assume, for a set of $d$ obligors, a set of $d$ idiosyncratic shocks and a shock that triggers the default of all…
The core of the classical block maxima method consists of fitting an extreme value distribution to a sample of maxima over blocks extracted from an underlying series. In asymptotic theory, it is usually postulated that the block maxima are…