Tail dependence of perturbed copulas
In this paper, we extend our investigations of a special class of perturbations of copulas introduced in . 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.
Keywordscopula; pertubation of copula; tail dependence; Real Estate Investment Trust (REIT) index; returns of REIT indexes
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