Copula-based measures of dependence structure in assets returns
نویسندگان
چکیده
منابع مشابه
Copula Structure Analysis Based on Robust and Extreme Dependence Measures
In this paper we extend the standard approach of correlation structure analysis in order to reduce the dimension of highdimensional statistical data. The classical assumption of a linear model for the distribution of a random vector is replaced by the weaker assumption of a model for the copula. For elliptical copulae a ’correlation-like’ structure remains but different margins and non-existenc...
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ژورنال
عنوان ژورنال: Physica A: Statistical Mechanics and its Applications
سال: 2008
ISSN: 0378-4371
DOI: 10.1016/j.physa.2008.02.055