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Title: Modelling financial time series using reflections of copulas (English)
Author: Komorník, Jozef
Author: Komorníková, Magda
Language: English
Journal: Kybernetika
ISSN: 0023-5954
Volume: 49
Issue: 3
Year: 2013
Pages: 487-497
Summary lang: English
Category: math
Summary: We have intensified studies of reflections of copulas (that we introduced recently in [6]) and found that their convex combinations exhibit potentially useful fitting properties for original copulas of the Normal, Frank, Clayton and Gumbel types. We show that these properties enable us to construct interesting models for the relations between investment in stocks and gold. (English)
Keyword: copula
Keyword: tail dependence
Keyword: survival copula
Keyword: reflections of copulas
Keyword: stock index
Keyword: returns of index investments
Keyword: returns of gold investments
MSC: 62A10
MSC: 93E12
Date available: 2013-07-18T15:41:54Z
Last updated: 2013-07-31
Stable URL:
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Reference: [5] Joe, H.: Models and Dependence Concepts..Chapman and Hall, London 1997. Zbl 0990.62517, MR 1462613
Reference: [6] Komorník, J., Komorníková, M.: Reflections of copulas and their applications in modelling of financial data..Forum Statisticum Slovacum 1, (2012), 12-19.
Reference: [7] Nelsen, R. B.: An introduction to copulas..In: Lecture Notes in Statist. 139, Springer-Verlag, New York 1999. Zbl 1152.62030, MR 1653203
Reference: [8] Ning, C.: Extreme dependence of international stock market..Working Paper, Ryerson University, 2008.
Reference: [9] Ning, C.: Dependence structure between the equity market and the foreign exchange market - a copula approach..J. Internat. Money and Finance 29 (2010), 5, 743-759. 10.1016/j.jimonfin.2009.12.002
Reference: [10] Patton, A. J.: Modelling asymmetric exchange rate dependence..Internat. Econom. Rev. 47 (2006), 2, 527-556. MR 2216591, 10.1111/j.1468-2354.2006.00387.x


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