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...

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Veröffentlicht in:	Journal of statistical theory and applications 2016-06, Vol.15 (2), p.153-160
Hauptverfasser:	Komorník, Jozef, Komorníková, Magda, Kalická, Jana, Nguyen, Cuong
Format:	Artikel
Sprache:	eng
Schlagworte:	Copula perturbation of copula tail dependence Real Estate Investment Trust (REIT) index returns of REIT indexes Perturbation Research Article
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Beschreibung
Zusammenfassung:	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