Tail dependence of perturbed copulas

被引：0

作者：

Jozef Komorník

Magda Komorníková

Jana Kalická

Cuong Nguyen

机构：

[1] Comenius University,Faculty of Management

[2] Slovak University of Technology,Faculty of Civil Engineering

[3] Lincoln University,Faculty of Commerce

来源：

Journal of Statistical Theory and Applications | 2016年 / 15卷 / 2期

关键词：

Copula; perturbation of copula; tail dependence; Real Estate Investment Trust (REIT) index; returns of REIT indexes; 60E99; 62P20; 91B70;

D O I：

10.2991/jsta.2016.15.2.5

中图分类号：

学科分类号：

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：7

共 7 条

[1]

Bhatti MI(2012)Diversification evidence from international equity markets using extreme valeus and stochastic copulas Jounal of International Financial Markets, Institutions & Money 22 622-646

[2]

Nguyen CC(2014)Volatility linkages in the spot and futures market in Australia: a copula approach Qual. Quant 48 2589-2603

[3]

Nguyen C(2007)Everything you always wanted to know about copula modeling but were afraid to ask Journal of Hydrologic Engineering 12 347-368

[4]

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[5]

Hayat A(undefined)undefined undefined undefined undefined-undefined

[6]

Genest C(undefined)undefined undefined undefined undefined-undefined

[7]

Favre AC(undefined)undefined undefined undefined undefined-undefined

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