Using copulas to model dependence between crude oil prices of west Texas intermediate and Brent-Europe
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Publication:4985752
parameter estimationcopulasAkaike information criterion (AIC)linear convex combinationgoodness of fit test (GOF)
Statistical aspects of information-theoretic topics (62B10) Applications of statistics to economics (62P20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Estimation in multivariate analysis (62H12) Measures of association (correlation, canonical correlation, etc.) (62H20)
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Cites work
- scientific article; zbMATH DE number 4201232 (Why is no real title available?)
- scientific article; zbMATH DE number 1134711 (Why is no real title available?)
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- Copules archimédiennes et families de lois bidimensionnelles dont les marges sont données
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- Correlation and dependence
- Correlations and copulas for decision and risk analysis
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- Semiparametric estimation in copula models
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- Tail dependence estimate in financial market risk management: Clayton-Gumbel copula approach
- Tail order and intermediate tail dependence of multivariate copulas
- Tests of serial independence for continuous multivariate time series based on a Möbius decomposition of the independence empirical copula process
- Understanding Relationships Using Copulas
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