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Expansions for bivariate copulas

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  • Nadarajah, Saralees

Abstract

About twenty expansions applicable for a wide range of bivariate copulas are given. These expansions being mostly elementary enable easy computation of measures and properties of copulas.

Suggested Citation

  • Nadarajah, Saralees, 2015. "Expansions for bivariate copulas," Statistics & Probability Letters, Elsevier, vol. 100(C), pages 77-84.
    • Handle: RePEc:eee:stapro:v:100:y:2015:i:c:p:77-84
    DOI: 10.1016/j.spl.2015.02.005
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    References listed on IDEAS

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    1. Schmid, Friedrich & Schmidt, Rafael, 2007. "Multivariate conditional versions of Spearman's rho and related measures of tail dependence," Journal of Multivariate Analysis, Elsevier, vol. 98(6), pages 1123-1140, July.
    2. Ibragimov, Rustam, 2009. "Copula-Based Characterizations For Higher Order Markov Processes," Econometric Theory, Cambridge University Press, vol. 25(3), pages 819-846, June.
    3. Sancetta, Alessio & Satchell, Stephen, 2004. "The Bernstein Copula And Its Applications To Modeling And Approximations Of Multivariate Distributions," Econometric Theory, Cambridge University Press, vol. 20(3), pages 535-562, June.
    4. Philipp Arbenz, 2013. "Bayesian Copulae Distributions, with Application to Operational Risk Management—Some Comments," Methodology and Computing in Applied Probability, Springer, vol. 15(1), pages 105-108, March.
    5. Mai, Jan-Frederik & Scherer, Matthias, 2009. "Lévy-frailty copulas," Journal of Multivariate Analysis, Elsevier, vol. 100(7), pages 1567-1585, August.
    6. Wang, Yi-Chiuan & Wu, Jyh-Lin & Lai, Yi-Hao, 2013. "A revisit to the dependence structure between the stock and foreign exchange markets: A dependence-switching copula approach," Journal of Banking & Finance, Elsevier, vol. 37(5), pages 1706-1719.
    7. J. Rosco & Harry Joe, 2013. "Measures of tail asymmetry for bivariate copulas," Statistical Papers, Springer, vol. 54(3), pages 709-726, August.
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