Tail dependence of perturbed copulas
Copyright policy )Tail dependence of perturbed copulas
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.
- Slovak University of Technology in Bratislava Slovakia
- Lincoln University New Zealand
- Comenius University Slovakia
330, tail dependence, returns of REIT indexes, QA273-280, 510, pertubation of copula, ANZSRC::010401 Applied Statistics, Copula; perturbation of copula; tail dependence; Real Estate Investment Trust (REIT) index; returns of REIT indexes., copula, Real Estate Investment Trust (REIT) index, Probabilities. Mathematical statistics
330, tail dependence, returns of REIT indexes, QA273-280, 510, pertubation of copula, ANZSRC::010401 Applied Statistics, Copula; perturbation of copula; tail dependence; Real Estate Investment Trust (REIT) index; returns of REIT indexes., copula, Real Estate Investment Trust (REIT) index, Probabilities. Mathematical statistics
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