Modeling directional monotonicity with copulas

The purpose of this paper is to characterize the concept of monotonicity according to a direction related to a set of n random variables in terms of its associated n-copula. We start establishing relationships in the bivariate and trivariate cases, which will help to understand the extension to the multivariate case. Several examples are provided.

Publication Details

Journal
Repositorio de Patentes de la Universidad de Almería (Universidad de Almería)
Published
2025-02-12
DOI
https://doi.org/10.22111/ijfs.2025.49682.8770
Primary Topic
Financial Risk and Volatility Modeling
Type
article
Field-Weighted Citation Impact
0.00

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article

Modeling directional monotonicity with copulas

Repositorio de Patentes de la Universidad de Almería (Universidad de Almería)
Financial Risk and Volatility Modeling
article

Modeling directional monotonicity with copulas

article en

Abstract

The purpose of this paper is to characterize the concept of monotonicity according to a direction related to a set of n random variables in terms of its associated n-copula. We start establishing relationships in the bivariate and trivariate cases, which will help to understand the extension to the multivariate case. Several examples are provided.

Repositorio de Patentes de la Universidad de Almería (Universidad de Almería)
Ministerio de Ciencia e Innovación, Junta de Andalucía, Universidad de Almería, European Regional Development Fund
Reduced inequalities
Openalex Percentile: Top 45%
Financial Risk and Volatility Modeling
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Modeling directional monotonicity with copulas · Repositorio de Patentes de la Universidad de Almería (Universidad de Almería) (2025) | TGRS Research Map | TGRS