A copula test space model how to avoid the wrong copula choice

Frederik Michiels; Ann De Schepper

Kybernetika (2008)

  • Volume: 44, Issue: 6, page 864-878
  • ISSN: 0023-5954

Abstract

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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, and we present a complete overview of bivariate test spaces for all possible situations. The practical use will be illustrated by means of a numerical application based on an illustrative portfolio containing the S&P 500 Composite Index, the JP Morgan Government Bond Index and the NAREIT All index.

How to cite

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Michiels, Frederik, and De Schepper, Ann. "A copula test space model how to avoid the wrong copula choice." Kybernetika 44.6 (2008): 864-878. <http://eudml.org/doc/33970>.

@article{Michiels2008,
abstract = {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, and we present a complete overview of bivariate test spaces for all possible situations. The practical use will be illustrated by means of a numerical application based on an illustrative portfolio containing the S&P 500 Composite Index, the JP Morgan Government Bond Index and the NAREIT All index.},
author = {Michiels, Frederik, De Schepper, Ann},
journal = {Kybernetika},
keywords = {copula; Kendall’s tau; goodness-of-fit; copula test space; associated copulas; Kendall's tau; goodness-of-fit; associated copulas},
language = {eng},
number = {6},
pages = {864-878},
publisher = {Institute of Information Theory and Automation AS CR},
title = {A copula test space model how to avoid the wrong copula choice},
url = {http://eudml.org/doc/33970},
volume = {44},
year = {2008},
}

TY - JOUR
AU - Michiels, Frederik
AU - De Schepper, Ann
TI - A copula test space model how to avoid the wrong copula choice
JO - Kybernetika
PY - 2008
PB - Institute of Information Theory and Automation AS CR
VL - 44
IS - 6
SP - 864
EP - 878
AB - 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, and we present a complete overview of bivariate test spaces for all possible situations. The practical use will be illustrated by means of a numerical application based on an illustrative portfolio containing the S&P 500 Composite Index, the JP Morgan Government Bond Index and the NAREIT All index.
LA - eng
KW - copula; Kendall’s tau; goodness-of-fit; copula test space; associated copulas; Kendall's tau; goodness-of-fit; associated copulas
UR - http://eudml.org/doc/33970
ER -

References

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