Tail dependence of perturbed copulas

Journal of Statistical Theory and Applications (JSTA)

关键词: Copula;    perturbation of copula;    tail dependence;    Real Estate Investment Trust (REIT) index;    returns of REIT indexes.;   

DOI  :  10.2991/jsta.2016.15.2.5

来源: DOAJ

【 摘 要 】

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.

【 授权许可】

Unknown