Copula Theory: An Introduction

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Subfields: Finance

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Conditioning-based metrics on the space of multivariate copulas and their interrelation with uniform and levelwise convergence and Iterated Function Systems (2015, background): “For properties of copulas we refer to [11,27].”
Pair-Copula Constructions of Multivariate Copulas (2010, background): “For the basic theor y on copulas see the first chapter ([14]) or the books on copulas by Joe ([32]) and Nelso n ([51]).”
A copula-based approach to account for dependence in stress-strength models (2013, methodology): “We solved (14) numerically by using common software.”
Model uncertainty and VaR aggregation (2013, methodology): “The reader not familiar with the theory of copulas is referred to Nelsen (2006), McNeil et al. (2005, Chapter 5) and Durante and Sempi (2010).”
Copula-Based Measures of Multivariate Association (2010, methodology): “To do so, we introduce additional notation and definitions in the following, which are not given in Durante and Sempi [22].”
On the exact region determined by Kendall's τ and Spearman's ρ (2015, background): “Notation and Preliminaries As already mentioned before, C will denote the family of all two-dimensional copulas, see [3, 5, 13, 16].”