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Univariate conditioning of vine copulas

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  • Jaworski, Piotr

Abstract

In this paper we deal with the tail behaviour of copulas. We compare the methods based on the univariate conditioning of a selected variable and on the tail dependence functions. We introduce a new subclass of vine copulas, consisting of regular vine copulas which are “rooted” at the first variable and study the limiting properties of such copulas.

Suggested Citation

  • Jaworski, Piotr, 2015. "Univariate conditioning of vine copulas," Journal of Multivariate Analysis, Elsevier, vol. 138(C), pages 89-103.
    • Handle: RePEc:eee:jmvana:v:138:y:2015:i:c:p:89-103
    DOI: 10.1016/j.jmva.2015.01.016
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    References listed on IDEAS

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    1. Li, Haijun & Wu, Peiling, 2013. "Extremal dependence of copulas: A tail density approach," Journal of Multivariate Analysis, Elsevier, vol. 114(C), pages 99-111.
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