arXiv 14 Sep 2020 · Econometrics · publishedJournal of Econometrics (2022) · 7 citations (OpenAlex)
arXiv:2009.06558 · PDF · DOI · OpenAlex · Extracted main text
This paper introduces vector copulas associated with multivariate distributions with given multivariate marginals, based on the theory of measure transportation, and establishes a vector version of Sklar's theorem. The latter provides a theoretical justification for the use of vector copulas to characterize nonlinear or rank dependence between a finite number of random vectors (robust to within vector dependence), and to construct multivariate distributions with any given non overlapping multivariate marginals. We construct Elliptical and Kendall families of vector copulas, derive their densities, and present algorithms to generate data from them. The use of vector copulas is illustrated with a stylized analysis of international financial contagion.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | V. Chernozhukov, A. Galichon, M. Hallin, and M. Henry (2017) Monge-Kantorovich depth, quantiles, ranks and signs | 0.928 | 5 | 4 | 80% |
| 2 | R. McCann (1995) Existence and uniqueness of monotone measure-preserving maps | 0.843 | 4 | 3 | 75% |
| 3 | A. McNeil, R. Frey, and P. Embrechts (2005) Quantitative Risk Management: Concepts, Techniques and Tools | 0.843 | 4 | 3 | 75% |
| 4 | I. Medovikov and A. Prokhorov (2017) A new measure of vector dependence, with an application to financial contagion | 0.811 | 4 | 2 | 100% |
| 5 | H. Kellerer (1964) Verteilungsfunktionen mit gegebenen Marginalverteilungen | 0.737 | 4 | 3 | 50% |
| 6 | Y. Brenier (1991) Polar factorization and monotone rearrangement of vector‐valued functions | 0.737 | 3 | 3 | 67% |
| 7 | S. Rachev and L. Rüschendorf (1990) A characterization of random variables with minimal L2 distance | 0.737 | 3 | 3 | 67% |
| 8 | L. Rüschendorf (2013) Mathematical Risk Analysis | 0.737 | 3 | 3 | 67% |
| 9 | N. Vorobev (1962) Consistent families of measures and their extensions | 0.737 | 3 | 3 | 67% |
| 10 | I. Ekeland, A. Galichon, and M. Henry (2012) Comonotone measures of multivariate risks | 0.737 | 3 | 2 | 100% |
Showing the top 10 of 62 scored citations.