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q-fin.RM2018★ 7 cited
New copulas based on general partitions-of-unity (part III) - the continuous case (extended version)
Dietmar Pfeifer, Andreas Mändle, Olena Ragulina +1
In this paper we discuss a natural extension of infinite discrete partition-of-unity copulas which were recently introduced in the literature to continuous partition of copulas wit…
q-fin.RM2015★ 8 cited
New copulas based on general partitions-of-unity and their applications to risk management
Dietmar Pfeifer, Hervé Awoumlac Tsatedem, Andreas Mändle +1
We construct new multivariate copulas on the basis of a generalized infinite partition-of-unity approach. This approach allows - in contrast to finite partition-of-unity copulas -…