Tail dependence of perturbed copulas

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dc.contributor.authorKomorník, J
dc.contributor.authorKomorníková, M
dc.contributor.authorKalická, J
dc.contributor.authorNguyen, Cuong
dc.date.accessioned2018-05-30T02:33:15Z
dc.date.issued2016-06
dc.date.submitted2015-11-11
dc.description.abstractIn 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.
dc.format.extentpp.153-160
dc.identifierhttps://www.webofscience.com/api/gateway?GWVersion=2&SrcApp=elements_prod&SrcAuth=WosAPI&KeyUT=WOS:000384555000005&DestLinkType=FullRecord&DestApp=WOS_CPL
dc.identifier.citationKomorník, J., Komorníková, M., Kalická, J., & Nguyen, C. (2016). Tail dependence of perturbed copulas. Journal of Statistical Theory and Applications, 15(2), 153-160. doi:10.2991/jsta.2016.15.2.5
dc.identifier.doi10.2991/jsta.2016.15.2.5
dc.identifier.eissn2214-1766
dc.identifier.issn1538-7887
dc.identifier.otherDX7GO (isidoc)
dc.identifier.urihttps://hdl.handle.net/10182/9483
dc.language.isoen
dc.publisherAtlantis Press
dc.relationThe original publication is available from Atlantis Press - https://doi.org/10.2991/jsta.2016.15.2.5 - http://dx.doi.org/10.2991/jsta.2016.15.2.5
dc.relation.isPartOfJournal of Statistical Theory and Applications
dc.relation.urihttps://doi.org/10.2991/jsta.2016.15.2.5
dc.rights© The Authors
dc.rights.ccnameAttribution-NonCommercial
dc.rights.ccurihttps://creativecommons.org/licenses/by-nc/4.0/
dc.subjectcopula
dc.subjectpertubation of copula
dc.subjecttail dependence
dc.subjectReal Estate Investment Trust (REIT) index
dc.subjectreturns of REIT indexes
dc.subject.anzsrcANZSRC::010401 Applied Statistics
dc.titleTail dependence of perturbed copulas
dc.typeJournal Article
lu.contributor.unitLU
lu.contributor.unitLU|Faculty of Agribusiness and Commerce
lu.contributor.unitLU|Faculty of Agribusiness and Commerce|FABS
lu.contributor.unitLU|Research Management Office
lu.contributor.unitLU|Research Management Office|OLD QE18
lu.identifier.orcid0000-0002-7563-2374
pubs.issue2
pubs.publication-statusPublished
pubs.publisher-urlhttp://dx.doi.org/10.2991/jsta.2016.15.2.5
pubs.volume15
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