Kybernetika 47 no. 4, 532-540, 2011

A note on biconic copulas

Fabrizio Durante and Juan Fernández-Sánchez

Abstract:

We describe a class of bivariate copulas having a fixed diagonal section. The obtained class contains both the Fréchet upper and lower bounds and it allows to describe non-trivial tail dependence coefficients along both the diagonals of the unit square.

Keywords:

diagonal section, copulas, probability mass distribution, tail dependence

Classification:

62E10

paper.pdf

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