2024/04/06 by Nik Stopar, Stopar, Nik · 1 citation
Economics, Econometrics and Finance · #60A10 #60B10 #62H05 #FOS: Mathematics #Financial Risk and Volatility Modeling #Probability (math.PR) #Statistics Theory (math.ST)
paper · pdf · doi:10.48550/arxiv.2404.04560
openalex publication_date 2024/04/06 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
It is well known that every bivariate copula induces a positive measure on the Borel σ-algebra on [0,1]2, but there exist bivariate quasi-copulas that do not induce a signed measure on the same σ-algebra. In this paper we show that a signed measure induced by a bivariate quasi-copula can always be expressed as an infinite combination of measures induced by copulas. With this we are able to give the first characterization of measure-inducing quasi-copulas in the bivariate setting.