Title: Spatially homogeneous copulas
Authors: Fabrizio Durante - University of Salento (Italy) [presenting]
Juan Fernandez Sanchez - Universidad de Almeria (Spain)
Wolfgang Trutschnig - University of Salzburg (Austria)
Abstract: Spatially homogeneous copulas are considered, i.e. copulas whose corresponding measure is invariant under special transformations of the unit square. Their main properties are studied with a view to possible use in stochastic models. In particular, we prove some symmetry properties and demonstrate how spatially homogeneous copulas can be used in order to construct copulas with surprisingly singular properties. Finally, a generalization of spatially homogeneous copulas is also given and a characterization of this new family of copulas in terms of the Markov product of copulas is established.