Advanced Search
MyIDEAS: Login to save this article or follow this journal

Basics of copula’s theory

Contents:

Author Info

  • Blagoveschensky, Yury

    ()

Registered author(s):

    Abstract

    The most important properties of p-variate distributions on the hypercube whose univariate marginals are uniformly distributed on [0; 1] are discussed. These distributions, also called p-copulas, have become a popular tool in order to study financial markets, macroeconomics and other fields. The study of Russian articles shows that in most cases these articles contain a list of several typical copulas and techniques of their using but they hold no discussions about meaning of acts over copulas. The review is an attempt to change for the better this situation, even if it were a little.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://pe.cemi.rssi.ru/pe_2012_2_113-130.pdf
    File Function: Full text
    Download Restriction: no

    Bibliographic Info

    Article provided by Publishing House "SINERGIA PRESS" in its journal Applied Econometrics.

    Volume (Year): 26 (2012)
    Issue (Month): 2 ()
    Pages: 113-130

    as in new window
    Handle: RePEc:ris:apltrx:0174

    Contact details of provider:
    Web page: http://appliedeconometrics.cemi.rssi.ru/

    Related research

    Keywords: copula; Sklar’s theorem; Lipschitz condition; product operation on copulas; contingency.;

    Find related papers by JEL classification:

    References

    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
    as in new window
    1. Fantazzini, Dean, 2011. "Analysis of multidimensional probability distributions with copula functions. III," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 24(4), pages 100-130.
    2. Penikas, Henry, 2011. "Copula-Based Price Risk Hedging Models," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 22(2), pages 3-21.
    3. Fantazzini, Dean, 2011. "Analysis of multidimensional probability distributions with copula functions," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 22(2), pages 98-134.
    4. Fantazzini, Dean, 2011. "Analysis of multidimensional probability distributions with copula functions. II," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 23(3), pages 98-132.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as in new window

    Cited by:
    1. Bologov , Yaroslav, 2013. "A copula-based approach to portfolio credit risk modeling," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 29(1), pages 45-66.
    2. Balaev, Alexey, 2014. "The copula based on multivariate t-distribution with vector of degrees of freedom," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 33(1), pages 90-110.
    3. Travkin, Alexandr, 2013. "Pair copula constructions in portfolio optimization ploblem," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 32(4), pages 110-133.
    4. Aivazian, Sergei & Afanasiev, Mikhail & Rudenko, Victoria, 2014. "Analysis of dependence between the random components of a stochastic production function for the purpose of technical efficiency estimation," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 34(2), pages 3-18.

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:ris:apltrx:0174. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Anatoly Peresetsky).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.