A new family of nonexchangeable copulas for positive dependence

This note contributes to the development of the theory of stochastic dependence by employing the general concept of copula. In particular, it deals with the construction of a new family of non-exchangeable copulas characterizing the multivariate total positivity of order 2 (MTP2) dependence.

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Year of publication:	2014-11-23
Authors:	Cerqueti, Roy ; Lupi, Claudio
Institutions:	Dipartimento di Economia, Gestione, Società e Istituzioni, Università degli Studi del Molise
Subject:	Copulas \| MTP2 dependence \| Non-exchangeability

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Extent:	application/pdf
Series:	Economics & Statistics Discussion Papers.
Type of publication:	Book / Working Paper
Notes:	8 pages long
Classification:	C19 - Econometric and Statistical Methods: General. Other ; C39 - Econometric Methods: Multiple/Simultaneous Equation Models. Other
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011082321