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Gijbels et. al. Positive quadrant dependence tests for copulas (25 page PDF)

What could potentially be application of this concept in economics and finance? From what I read from a couple of papers, they seem to be useful for modelling probabilities of consecutive portfolio losses in credit and insurance.

Can you guys think of anything else? Any use in hedging?

Also, how to compute positive orthant dependence? Any software available?

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  • $\begingroup$ Could you explain the concept? $\endgroup$ – Bob Jansen Feb 14 at 8:20
  • $\begingroup$ Pretty straightforward article. You can just read intro to get acquainted. $\endgroup$ – user38805 Feb 14 at 10:38
  • $\begingroup$ google.com/url?sa=t&source=web&rct=j&url=http://… $\endgroup$ – user38805 Feb 14 at 10:39
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    $\begingroup$ Please include ref in your question otherwise the question itself is unclear. Thanks $\endgroup$ – Ezy Feb 14 at 11:32

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