We present some known and novel aspects about bivariate copulas with prescribed diagonal section by highlighting their use in the description of the tail dependence. Moreover, we present the tail concentration function (which depends on the diagonal section of a copula) as a tool to give a description of tail dependence at finite scale. The tail concentration function is hence used to introduce a graphical tool that can help to distinguish different families of copulas in the copula test space. Moreover, it serves as a basis to determine the grouping structure of different financial time series by taking into account their pairwise tail behavior.

Copulas, diagonals, and tail dependence

PAPPADA' , ROBERTA
2015

Abstract

We present some known and novel aspects about bivariate copulas with prescribed diagonal section by highlighting their use in the description of the tail dependence. Moreover, we present the tail concentration function (which depends on the diagonal section of a copula) as a tool to give a description of tail dependence at finite scale. The tail concentration function is hence used to introduce a graphical tool that can help to distinguish different families of copulas in the copula test space. Moreover, it serves as a basis to determine the grouping structure of different financial time series by taking into account their pairwise tail behavior.
File in questo prodotto:
File Dimensione Formato  
Copulas, diagonals, and tail dependence.pdf

non disponibili

Descrizione: pdf editoriale
Tipologia: Documento in Versione Editoriale
Licenza: Digital Rights Management non definito
Dimensione 718.62 kB
Formato Adobe PDF
718.62 kB Adobe PDF   Visualizza/Apri   Richiedi una copia

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11368/2846599
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus 30
  • ???jsp.display-item.citation.isi??? 27
social impact