Methods of Selecting a Copula for Time Series

摘要：

Copulas have become a powerful tool for modeling the dependence structure of financial data and preferable to the traditional,correlation-based approach.Whether or not a certain copula or a parametric family of copulas is suitable for the description of the dependencies in the historical data under study is an important problem.To address this problem,we introduce some methods for how to select a copula more fitting the dependence of random variables.

关键词： Copula Random variables Dependence Test

作者: Yi Wende Huang Aihua

作者单位: Dept.Of Math & Computer Science,Chongqing University of Arts and Sciences,P.R.China,402160 Dept.of Planning Finance,Chongqing University of Arts and Science Yongchuan Chongqing,P.R.China,4021

会议类型: 国际会议

会议名称: 第三届产品创新管理国际会议(The 3rd International Conference on Product Innovation Management)

会议地点: 武汉

会议语种:英文

在线出版日期: 2008-10-26（万方平台首次上网日期，不代表论文的发表时间）