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A new family of nonexchangeable copulas for positive dependence

Listed author(s):
  • Cerqueti, Roy

    ()

  • Lupi, Claudio

    ()

This note contributes to the development of the theory of stochastic dependence by employing the general concept of copula. In particular, it deals with the construction of a new family of non-exchangeable copulas characterizing the multivariate total positivity of order 2 (MTP2) dependence.

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File URL: http://web.unimol.it/progetti/repec/mol/ecsdps/ESDP14075.pdf
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Paper provided by University of Molise, Dept. EGSeI in its series Economics & Statistics Discussion Papers with number esdp14075.

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Length: 8
Date of creation: 23 Nov 2014
Handle: RePEc:mol:ecsdps:esdp14075
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  1. Müller, Alfred & Scarsini, Marco, 2005. "Archimedean copulæ and positive dependence," Journal of Multivariate Analysis, Elsevier, vol. 93(2), pages 434-445, April.
  2. Liebscher, Eckhard, 2011. "Erratum to "Construction of asymmetric multivariate copulas" [J. Multivariate Anal. 99 (2008) 2234-2250]," Journal of Multivariate Analysis, Elsevier, vol. 102(4), pages 869-870, April.
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