Item

Tail dependence of perturbed copulas

Komorník, J
Komorníková, M
Kalická, J
Nguyen, Cuong
Date
2016-06
Type
Journal Article
Fields of Research
ANZSRC::010401 Applied Statistics
Abstract
In this paper, we extend our investigations of a special class of perturbations of copulas introduced in [7]. Despite a surprising fact that this kind of perturbations does not change the value of tail dependence of the original copulas, their use yielded models with considerably improved fitting qualities.
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© The Authors
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Attribution-NonCommercial
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