Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/258157 
Year of Publication: 
2021
Citation: 
[Journal:] Risks [ISSN:] 2227-9091 [Volume:] 9 [Issue:] 4 [Article No.:] 68 [Publisher:] MDPI [Place:] Basel [Year:] 2021 [Pages:] 1-24
Publisher: 
MDPI, Basel
Abstract: 
The new class of matrix-tilted Archimedean copulas is introduced. It combines properties of Archimedean and elliptical copulas by introducing a tilting matrix in the stochastic representation of Archimedean copulas, similar to the Cholesky factor for elliptical copulas. Basic properties of this copula construction are discussed and a further extension outlined.
Subjects: 
Archimedean copulas
elliptical copulas
generalization
stochastic representation
tilting
Persistent Identifier of the first edition: 
Creative Commons License: 
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Document Type: 
Article
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