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 qu...

Full description

Saved in:
Bibliographic Details
Published in:Journal of statistical theory and applications 2016-06, Vol.15 (2), p.153-160
Main Authors: Komorník, Jozef, Komorníková, Magda, Kalická, Jana, Nguyen, Cuong
Format: Article
Language:English
Subjects:
Copula
perturbation of copula
tail dependence
Real Estate Investment Trust (REIT) index
returns of REIT indexes
Perturbation
Research Article
Citations: Items that cite this one
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
Description
Summary: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.
ISSN:1538-7887
2214-1766
1538-7887
DOI:10.2991/jsta.2016.15.2.5