A copula test space model: How to avoid the wrong copula choice

Autor:	Michiels, Frederik, Ann De Schepper
Rok vydání:	2007
Předmět:	Computer. Automation Copula Kendall’s ? Goodness-of-fit
Zdroj:	ResearcherID Kybernetika
ISSN:	0023-5954
Popis:	We introduce and discuss the test space problem as a part of the whole copula fitting process. In particular, we explain how an efficient copula test space can be constructed by taking into account information about the existing dependence. Although our model is developed in a bivariate environment it can be used for higher dimensional copula fitting applications. This is shown on the 3 dimensional dependence structure of an illustrative porfolio containing the S&P 500 Composite Index, the JP Morgan Government Bond Index and the NAREIT All index.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::5b97daa1fc38c69a27a885c14b011fb6 https://repository.uantwerpen.be/docman/irua/12ff54/a0ec7a32.pdf Zobrazit plný text záznamu