2017/10/03 by Jiehua Xie, Xie, Jiehua, Jingping Yang +3
Economics, Econometrics and Finance · Mathematics · #FOS: Mathematics #Financial Risk and Volatility Modeling #Statistical Distribution Estimation and Applications #Statistics Theory (math.ST) #Stochastic processes and financial applications
paper · pdf · doi:10.48550/arxiv.1710.01200
openalex publication_date 2017/10/03 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
In this paper, we present a family of bivariate copulas by transforming a given copula function with two increasing functions, named as transformed copula. One distinctive characteristic of the transformed copula is its singular component along the main diagonal. Conditions guaranteeing the transformed function to be a copula function are provided, and several classes of the transformed copulas are given. The singular component along the main diagonal of the transformed copula is verified, and the tail dependence coefficients of the transformed copulas are obtained. Finally, some properties of the transformed copula are discussed, such as the totally positive of order 2 and the concordance order.