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Estimation procedures for exchangeable Marshall copulas with hydrological application

Durante, Fabrizio; Okhrin, Ostap - 2014

. In order to describe such situations, copula-based models have been studied during the last year. In this paper, we …

Persistent link: https://www.econbiz.de/10010333211

Convergence results for patchwork copulas

Durante, Fabrizio; Fernández-Sánchez, Juan; … - In: European journal of operational research : EJOR 247 (2015) 2, pp. 525-531

Persistent link: https://www.econbiz.de/10011375771

Multivariate patchwork copulas : a unified approach with applications to partial comonotonicity

Durante, Fabrizio; Sánchez, Juan Fernández; Sempi, Carlo - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 897-905

Persistent link: https://www.econbiz.de/10010227787

Estimation procedures for exchangeable Marshall copulas with hydrological application

Durante, Fabrizio; Okhrin, Ostap - 2014

. In order to describe such situations, copula-based models have been studied during the last year. In this paper, we …

Persistent link: https://www.econbiz.de/10010238359

Supermigrative copulas and positive dependence

Durante, Fabrizio; Ghiselli-Ricci, Roberto - In: AStA Advances in Statistical Analysis 96 (2012) 3, pp. 327-342

positive dependence for a bivariate random vector. Here, by using the recent notion of supermigrativity of a bivariate copula …

Persistent link: https://www.econbiz.de/10010998853

A multivariate nonlinear analysis of tourism expenditures

Disegna, Marta; Durante, Fabrizio; Foscolo, Enrico - Facoltà di Economia / Wirtschaftswissenschaftliche … - 2013

budget and ordered choices. To this end we provide a new multivariate copula-based logit model with explanatory variables. We …

Persistent link: https://www.econbiz.de/10010850509

Construction of non-exchangeable bivariate distribution functions

Durante, Fabrizio - In: Statistical Papers 50 (2009) 2, pp. 383-391

Persistent link: https://www.econbiz.de/10005615810

Estimation procedures for exchangeable Marshall copulas with hydrological application

Durante, Fabrizio; Okhrin, Ostap - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2014

. In order to describe such situations, copula-based models have been studied during the last year. In this paper, we …

Persistent link: https://www.econbiz.de/10010735914

Invariant dependence structures and Archimedean copulas

Durante, Fabrizio; Jaworski, Piotr; Mesiar, Radko - In: Statistics & Probability Letters 81 (2011) 12, pp. 1995-2003

We consider a family of copulas that are invariant under univariate truncation. Such a family has some distinguishing properties: it is generated by means of a univariate function; it can capture non-exchangeable dependence structures; it can be easily simulated. Moreover, such a class presents...

Persistent link: https://www.econbiz.de/10010571761

Measures of non-exchangeability for bivariate random vectors

Durante, Fabrizio; Klement, Erich; Sempi, Carlo; … - In: Statistical Papers 51 (2010) 3, pp. 687-699

Persistent link: https://www.econbiz.de/10008674143