Copulas Constructed from Horizontal Sections
By Erich-Peter Klement, Anna Kazimírová Kolesárová, Radko Mesiar, Carlo Sempi. 2007
48 citations recorded by the source corpus.
Subfields: Applied Mathematics, Finance
View Paper: https://www.semanticscholar.org/paper/0abe10170f018ba8090b2404a281de151a58e84c
How researchers see this paper
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In Finance
- Fabrizio Durante
- Carlo Sempi
- Peter Sarkoci
- Susanne Saminger-Platz
- Wolfgang Trutschnig
- G. Salvadori
- Piotr Jaworski
- Paul Embrechts
Citations in the corpus
- Copula Theory: An Introduction (2010, background): “• copulas with given support: see [72]; • copulas with given horizontal and/or vertical sections: see [48, 110, 167, 170, 196]; • copulas with given diagonal sections: see [34, 35, 44, 47, 59, 101, 102, 134, 154];”
- Rectangular Patchwork for Bivariate Copulas and Tail Dependence (2009, background): “For example, following Klement et al. (2007), let us consider C x y = y h x b y ≤ b 1− y h x + y − b x 1− b otherwise (3.1) Then, any copula C̃ in h can be obtained as rectangular patchwork of the type Ri Ci Ci=1 2, where R1 = 0 1 × 0 b and R2 = 0 1 × b 1 , namely there exist two copulas C1 and C2…”