Tail dependence of perturbed copulas

被引：0

作者：

Komornik, Jozef ^{[1
]}

Komornikova, Magda ^{[2
]}

Kalicka, Jana ^{[2
]}

Cuong Nguyen ^{[3
]}

机构：

[1] Comenius Univ, Fac Management, Odbojarov 10,POB 95, Bratislava 82005, Slovakia

[2] Slovak Univ Technol Bratislava, Fac Civil Engn, Radlinskeho 11, Bratislava 81005, Slovakia

[3] Lincoln Univ, Fac Commerce, POB 85084, Canterbury 7647, New Zealand

来源：

JOURNAL OF STATISTICAL THEORY AND APPLICATIONS | 2016年 / 15卷 / 02期

关键词：

Copula; perturbation of copula; tail dependence; Real Estate Investment Trust (REIT) index; returns of REIT indexes;

D O I：

暂无

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this paper, we extend our investigations of a special class of perturbations of copulas introduced in [ 7]. Despite a surprising fact that this kind of perturbations does not change the value of tail dependence of the original copulas, their use yielded models with considerably improved fitting qualities.

引用

页码：153 / 160

页数：8

共 8 条

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