Modelling financial time series using reflections of copulas
Jozef Komorník; Magda Komorníková
Kybernetika (2013)
- Volume: 49, Issue: 3, page 487-497
- ISSN: 0023-5954
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topKomorník, Jozef, and Komorníková, Magda. "Modelling financial time series using reflections of copulas." Kybernetika 49.3 (2013): 487-497. <http://eudml.org/doc/260606>.
@article{Komorník2013,
abstract = {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.},
author = {Komorník, Jozef, Komorníková, Magda},
journal = {Kybernetika},
keywords = {copula; tail dependence; survival copula; reflections of copulas; stock index; returns of index investments; returns of gold investments; copula; tail dependence; survival copula; reflections of copulas; stock index; returns of index investments; returns of gold investments},
language = {eng},
number = {3},
pages = {487-497},
publisher = {Institute of Information Theory and Automation AS CR},
title = {Modelling financial time series using reflections of copulas},
url = {http://eudml.org/doc/260606},
volume = {49},
year = {2013},
}
TY - JOUR
AU - Komorník, Jozef
AU - Komorníková, Magda
TI - Modelling financial time series using reflections of copulas
JO - Kybernetika
PY - 2013
PB - Institute of Information Theory and Automation AS CR
VL - 49
IS - 3
SP - 487
EP - 497
AB - 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.
LA - eng
KW - copula; tail dependence; survival copula; reflections of copulas; stock index; returns of index investments; returns of gold investments; copula; tail dependence; survival copula; reflections of copulas; stock index; returns of index investments; returns of gold investments
UR - http://eudml.org/doc/260606
ER -
References
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