Is there a copula that correlates large gains rather than losses?

<t>Hi, could anyone help me with interpreting copula parameters? I've modeled four assets using multivariate frank gumbel and clayton copulas as well as gaussian and student t. Ive also performed a goodness of fit test to see which fit my data well but i have a problem with the interpretation. For i...

Looking for an interpretation of Frank, Gumbel and Clayton copula parameters in the bivariate as well as multivariate case

They have closed form expressions and aren't limited to radial symmetry, hence they can capture different upper and lower tail dependencies

Gumbel, Clayton and Frank

Pardon me if this is a trivial question but when we say a copula C is quasi monotone on [0,1]^d is it the same as saying that C(u1,...ud) is a non decreasing function of each ui?

Why exactly do we generally take log returns of share prices for instance rather than the actual value of the return?

What is a time homogeneous Markov Process? I'm looking for a definition in words rather than formulae. Thanks!

<t>Hi, thanks! i was also looking for a definition of a distributional transform. If X is a real random variable with distribution function F and V is a random variable independent of X , such that V is uniformly distributed on (0,1) would the distributional transform of X be F(X,V)=P(X<x)+VP(X=x)? ...

I was looking at the proof of Sklar's theorem as given by Ruschendorf (2013) where he uses distributional transforms. However I don't think I have fully understood the definition of this.Could someone give a simple explanation?