We describe a class of bivariate copulas having a fixed diagonal section. The obtained class contains both the Frechet upper and lower bounds and it allows to describe non-trivial tail dependence coefficients along both the diagonals of the unit square.
A note on biconic copulas
Durante F;
2011-01-01
Abstract
We describe a class of bivariate copulas having a fixed diagonal section. The obtained class contains both the Frechet upper and lower bounds and it allows to describe non-trivial tail dependence coefficients along both the diagonals of the unit square.File in questo prodotto:
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