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

Title:

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

Creator:

Michiels, Frederik and De Schepper, Ann

Identifier:

https://cdk.lib.cas.cz/client/handle/uuid:f045a827-9a2a-4419-8c31-426c05f182f6
uuid:f045a827-9a2a-4419-8c31-426c05f182f6

Subject:

copula, Kendall´s tau, goodness-of-fit, copula test space, and associated copulas

Type:

model:article and TEXT

Format:

bez média and svazek

Description:

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.

Language:

English

Rights:

http://creativecommons.org/publicdomain/mark/1.0/
policy:public

Coverage:

[864]-878

Source:

Kybernetika | 2008 Volume:44 | Number:6

Harvested from:

CDK

Metadata only:

false