Displaying similar documents to “Modelling financial time series using reflections of copulas”

On copulas that generalize semilinear copulas

Juan Fernández Sánchez, Manuel Úbeda-Flores (2012)

Kybernetika

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We study a wide class of copulas which generalizes well-known families of copulas, such as the semilinear copulas. We also study corresponding results for the case of quasi-copulas.

Copula approach to residuals of regime-switching models

Anna Petričková, Magda Komorníková (2012)

Kybernetika

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The autocorrelation function describing the linear dependence is not suitable for description of residual dependence of the regime-switching models. In this contribution, inspired by Rakonczai ([20]), we will model the residual dependence of the regime-switching models (SETAR, LSTAR and ESTAR) with the autocopulas (Archimedean, EV and their convex combinations) and construct improved quality models for the original real time series.

Bivariate copulas: Transformations, asymmetry and measures of concordance

Sebastian Fuchs, Klaus D. Schmidt (2014)

Kybernetika

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The present paper introduces a group of transformations on the collection of all bivariate copulas. This group contains an involution which is particularly useful since it provides (1) a criterion under which a given symmetric copula can be transformed into an asymmetric one and (2) a condition under which for a given copula the value of every measure of concordance is equal to zero. The group also contains a subgroup which is of particular interest since its four elements preserve symmetry,...