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A new family of nonexchangeable copulas for positive dependence

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  • Cerqueti, Roy
  • Lupi, Claudio

Abstract

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.

Suggested Citation

  • Cerqueti, Roy & Lupi, Claudio, 2014. "A new family of nonexchangeable copulas for positive dependence," Economics & Statistics Discussion Papers esdp14075, University of Molise, Department of Economics.
    • Handle: RePEc:mol:ecsdps:esdp14075
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    File URL: http://web.unimol.it/progetti/repec/mol/ecsdps/ESDP14075.pdf
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    References listed on IDEAS

    as
    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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    Cited by:

    1. Cerqueti, Roy & Lupi, Claudio, 2015. "Total positivity for a class of non-exchangeable copulas," Economics & Statistics Discussion Papers esdp15077, University of Molise, Department of Economics.

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    More about this item

    Keywords

    Copulas; MTP2 dependence; Non-exchangeability;
    All these keywords.

    JEL classification:

    • C19 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Other
    • C39 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Other

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