期刊
APPLIED MATHEMATICS LETTERS
卷 26, 期 7, 页码 676-680出版社
PERGAMON-ELSEVIER SCIENCE LTD
DOI: 10.1016/j.aml.2013.01.009
关键词
Copula; Normal tempered stable copula; Asymmetric dependency
资金
- Karlsruhe Institute of Technology
In this paper, we discuss a copula defined by the Gaussian subordination method. The copula can capture the dependence between extreme events, and asymmetric dependence, which are observed in empirical financial return distributions. We further perform an empirical test for this new copula against the standard Gaussian copula using 10 years daily returns of the Standard&Poor's 500 (S&P500) and the Deutscher Aktien Index (DAX) equity market indices. (C) 2013 Elsevier Ltd. All rights reserved.
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