Copulas with fractal supports

By Gregory A. Fredricks, Roger B. Nelsen, J. -. Rodríguez-Lallena. 2005

51 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/8e03d4d23b5b78f3c33c29916a829b1c3d7803c6

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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];”
• Conditioning-based metrics on the space of multivariate copulas and their interrelation with uniform and levelwise convergence and Iterated Function Systems (2015, background): “457 So, according to [16], [32], there exists a unique fixed point  ∈ C2 of Vτ̂ .”
• Limiting dependence structures for tail events, with applications to credit derivatives (2006, background): “Fredricks et al. (2005) showed that for any copula C and any T = 1 there is a unique copula, CT , that depends only on T and satisfies T (CT ) = CT .”