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
Funders
- Ministerio de Ciencia e Innovación
- Junta de Andalucía
- Universidad de Almería
- European Regional Development Fund