Modelling financial time series using reflections of copulas

MaRDI QIDQ2871612zbMATH OpenFDO

Authors Jozef Komorník, Magda Komorníková

Publication date 8 January 2014

Published in Kybernetika (Search for Journal in Brave)

Full work available at URL http://www.kybernetika.cz/content/2013/3/487

zbMATH Keywords

copulareflections of copulasreturns of gold investmentsreturns of index investmentsstock indexsurvival copulatail dependence

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Statistical methods; risk measures (91G70)

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Cited in

(4)

• Dependence measures for perturbations of copulas
• Statistical Modeling of Temporal Dependence in Financial Data via a Copula Function
• scientific article; zbMATH DE number 7295850 (Why is no real title available?)
• Financial Crisis, VaR Forecasts and the Performance of Time Varying EVT-Copulas

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