Journal of Statistical Theory and Applications

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Volume 15, Issue 2, June 2016, Pages 153 - 160

Tail dependence of perturbed copulas

Authors
Jozef Komorník, Magda Komorníková, Jana Kalická, Cuong Nguyen
Corresponding Author
Jozef Komorník
Received 15 July 2015, Accepted 11 November 2015, Available Online 1 June 2016.
DOI
10.2991/jsta.2016.15.2.5How to use a DOI?
Keywords
Copula; perturbation of copula; tail dependence; Real Estate Investment Trust (REIT) index; returns of REIT indexes.
Abstract

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.

Copyright
© 2017, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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<Previous Article In Issue
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Journal
Journal of Statistical Theory and Applications
Volume-Issue
15 - 2
Pages
153 - 160
Publication Date
2016/06/01
ISSN (Online)
2214-1766
ISSN (Print)
1538-7887
DOI
10.2991/jsta.2016.15.2.5How to use a DOI?
Copyright
© 2017, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

Cite this article

risenwbib
TY  - JOUR
AU  - Jozef Komorník
AU  - Magda Komorníková
AU  - Jana Kalická
AU  - Cuong Nguyen
PY  - 2016
DA  - 2016/06/01
TI  - Tail dependence of perturbed copulas
JO  - Journal of Statistical Theory and Applications
SP  - 153
EP  - 160
VL  - 15
IS  - 2
SN  - 2214-1766
UR  - https://doi.org/10.2991/jsta.2016.15.2.5
DO  - 10.2991/jsta.2016.15.2.5
ID  - Komorník2016
ER  -