Name
Abstract | ||
|---|---|---|
A way to transform a given copula by means of a univariate function is presented. The resulting copula can be interpreted as the result of a global shock affecting all the components of a system modeled by the original copula. The properties of this copula transformation from the perspective of semi-group action are presented, together with some investigations about the related tail behavior. Finally, the whole methodology is applied to model risk assessment. |
Year | DOI | Venue |
|---|---|---|
2016 | 10.1016/j.cam.2015.10.022 | Journal of Computational and Applied Mathematics |
Keywords | Field | DocType |
62H05,62G32 | Econometrics,Copula (linguistics),Model risk,Univariate,Mathematics | Journal |
Volume | ISSN | Citations |
296 | 0377-0427 | 3 |
PageRank | References | Authors |
0.48 | 10 | 3 |
Name | Order | Citations | PageRank |
|---|---|---|---|
| Fabrizio Durante | 1 | 391 | 59.28 |
| Stephane Girard | 2 | 179 | 20.46 |
| Gildas Mazo | 3 | 10 | 2.17 |