Are copulas unimodal?

Cuculescu, Ioan; Theodorescu, Radu

doi:10.1016/s0047-259x(02)00030-1

Cited by 7 publications

(5 citation statements)

References 6 publications

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“…Copulas have the following main advantages over the F(x, y) approach (Cuculescu & Theodorescu, 2003;Frees & Valdez, 1998;Joe, 1997 etc. ):…”

Section: Theoretical Frameworkmentioning

confidence: 99%

“…Copulas have the following main advantages over the F ( x, y ) approach (Cuculescu & Theodorescu, 2003; Frees & Valdez, 1998; Joe, 1997 etc. ): ‐in modelling of multivariate density functions, they allow for fitting the dependence structure separately from the marginal distributions; ‐they allow for fitting different marginal distributions to different random variables and ‐they allow for a grate variety of types of dependence structures. …”

Section: Theoretical Frameworkmentioning

confidence: 99%

See 1 more Smart Citation

A measurement of affluence and poverty interdependence across countries: Evidence from the application of tail copula

Matkovskyy

2020

Bulletin of Econ Res

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This paper examines affluence and poverty interdependence across 185 countries and its evolution over 1969-2014. To estimate affluence and poverty interdependence and derive tail interdependences the tail copulae are applied to multivariate density function. The tail coefficients are estimated in the non-parametric way as in Schmidt and Stadtmüller (2006). The estimates show, that poverty is less interdependent and continue to decrease, while affluence has asymptotically high global dependence, meaning a higher global dependence on and sensitivity to the wellbeing of the affluent countries. The received results derive the pattern of the extreme interdependence and can help to identify poverty and affluence spill-over across countries and regions and calculate the average sensitivity of a country to these phenomena on the global level and can potentially help in poverty reduction strategies within the Sustainable Development Goal by the United Nations.

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“…Copulas have the following main advantages over the F(x, y) approach (Cuculescu & Theodorescu, 2003;Frees & Valdez, 1998;Joe, 1997 etc. ):…”

Section: Theoretical Frameworkmentioning

confidence: 99%

Section: Theoretical Frameworkmentioning

confidence: 99%

A measurement of affluence and poverty interdependence across countries: Evidence from the application of tail copula

Matkovskyy

2020

Bulletin of Econ Res

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“…This notion was later characterized by Genest et al [10]. The definition and the characterization were generalized to the multivariate case by Cuculescu and Theodorescu [2]; we will use this characterization as an alternative definition.…”

Section: Theoremmentioning

confidence: 99%

Characterizations of Archimedean n-copulas

Wysocki¹

2015

Kybernetika

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“…It is then natural to ask whether copulas are unimodal. This question has been answered for central convex, block, and star unimodality in Cuculescu and Theodorescu [3]. As a follow-up we examine in this Note the maximum domain of attraction for star unimodal copulas.…”

Section: Introductionmentioning

confidence: 97%