Data driven partition-of-unity copulas with applications to risk management

Autor:	Pfeifer, Dietmar, Mändle, Andreas, Ragulina, Olena
Rok vydání:	2017
Předmět:	Quantitative Finance - Risk Management 62H05 62H12 62H17 62H20
Druh dokumentu:	Working Paper
Popis:	We present a constructive and self-contained approach to data driven general partition-of-unity copulas that were recently introduced in the literature. In particular, we consider Bernstein-, negative binomial and Poisson copulas and present a solution to the problem of fitting such copulas to highly asymmetric data. Comment: this paper has been upgraded with the paper "New copulas based on general partition-of-unity copulas and their application to risk management part II" arXiv article arXiv:1709.07682
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/1703.05047 Zobrazit plný text záznamu View this record from Arxiv