Construction of non-exchangeable bivariate distribution functions

70 citations recorded by the source corpus.

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

On the construction of multivariate extreme value models via copulas (2009, methodology): “Recently, this approach has also been considered by Durante et al. (2008), in view of possible applications to credit portfolios whose assets belong to several homogeneous macro-economics areas.”
Analysis of directional dependence using asymmetric copula-based regression models (2014, background): “Liebscher [13] and Durante [14] introduced a general formula for new families of copulas whose members are asymmetric by multiplying two symmetric copulas: C(u, v; φ) = C1(uα , vβ) C2(uᾱ , vβ̄ ), (9) where α, β ∈ (0, 1), α = 1/2 or β = 1/2, α + ᾱ=1, β + β̄=1, and C1 and C2 are two symmetric copula”
Copula Theory: An Introduction (2010, background): “To the best of our knowledgement, the idea of such constructions arose in the Khoudraji’s work [107], and, then, studied and further generalized in [23, 41, 79, 124].”
Fitting bivariate copulas to the dependence structure between storm characteristics: A detailed analysis based on 105 year 10 min rainfall (2010, unknown): “A general formula for an asymmetric copula family Ca,b is [Durante, 2009] Ca;b u; vð Þ ¼ C1 ua; vb C2 u 1 a; v1 b ; ð13Þ where a, b 2 ]0, 1[, a 6¼ 1/2 or b 6¼ 1/2.”