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Data driven partition-of-unity copulas with applications to risk management. (arXiv:1703.05047v1 [q-fin.RM])

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We present a constructive and self-contained approach to data driven general partition-of-unity copulas that were recently introduced in the literature. In particular, we consider Bernstein-, negative binomial and Poisson copulas and present a solution to the problem of fitting such copulas to highly asymmetric data.


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