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Invariant dependence structures and Archimedean copulas

✍ Scribed by Fabrizio Durante; Piotr Jaworski; Radko Mesiar


Book ID
116890318
Publisher
Elsevier Science
Year
2011
Tongue
English
Weight
380 KB
Volume
81
Category
Article
ISSN
0167-7152

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πŸ“œ SIMILAR VOLUMES


Dependence and Order in Families of Arch
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The copula for a bivariate distribution function H(x, y) with marginal distribution functions F (x) and G( y) is the function , where . is a convex decreasing continuous function on (0, 1] with .(1)=0. A copula has lower tail dependence if C(u, u)Γ‚u converges to a constant # in (0, 1] as u Γ„ 0 + ;

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In this paper we model the dependence structure between credit default swap (CDS) and jump risk using Archimedean copulas. The paper models and estimates the different relationships that can exist in different ranges of behaviour. It studies the bivariate distributions of CDS index spreads and the k