Data driven partition-of-unity copulas with applications to risk\n management

2017/03/15 by Dietmar Pfeifer, Pfeifer, Dietmar, Andreas Mändle +3
Computer Science · Economics, Econometrics and Finance · Environmental Science · Mathematics · #62H05 #62H12 #62H17 #62H20 #Bayesian Methods and Mixture Models #FOS: Economics and business #Financial Risk and Volatility Modeling #Hydrology and Drought Analysis #Risk Management (q-fin.RM) #Statistical Distribution Estimation and Applications

paper · pdf · doi:10.48550/arxiv.1703.05047

openalex publication_date 2017/03/15 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

We present a constructive and self-contained approach to data driven general\npartition-of-unity copulas that were recently introduced in the literature. In\nparticular, we consider Bernstein-, negative binomial and Poisson copulas and\npresent a solution to the problem of fitting such copulas to highly asymmetric\ndata.\n

Related

• Bayesian nonparametric copulas with tail dependence
• A new method to construct high-dimensional copulas with Bernoulli and Coxian-2 distributions
• Solving estimating equations with copulas
• A Natural Copula
• Generating unfavourable VaR scenarios with patchwork copulas