Modelling financial time series using reflections of copulas

Jozef Komorník; Magda Komorníková

Kybernetika (2013)

  • Volume: 49, Issue: 3, page 487-497
  • ISSN: 0023-5954

Abstract

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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.

How to cite

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Komorník, 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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  2. Dobrič, J., Schmid, F., 10.1080/03610910500308685, In: Comm. Statist. - Simulation Comput. 34 (2005), 1053-1068. Zbl1080.62040MR2224276DOI10.1080/03610910500308685
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  5. Joe, H., Models and Dependence Concepts., Chapman and Hall, London 1997. Zbl0990.62517MR1462613
  6. Komorník, J., Komorníková, M., Reflections of copulas and their applications in modelling of financial data., Forum Statisticum Slovacum 1, (2012), 12-19. 
  7. Nelsen, R. B., An introduction to copulas., In: Lecture Notes in Statist. 139, Springer-Verlag, New York 1999. Zbl1152.62030MR1653203
  8. Ning, C., Extreme dependence of international stock market., Working Paper, Ryerson University, 2008. 
  9. Ning, C., 10.1016/j.jimonfin.2009.12.002, J. Internat. Money and Finance 29 (2010), 5, 743-759. DOI10.1016/j.jimonfin.2009.12.002
  10. Patton, A. J., 10.1111/j.1468-2354.2006.00387.x, Internat. Econom. Rev. 47 (2006), 2, 527-556. MR2216591DOI10.1111/j.1468-2354.2006.00387.x

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