Kybernetika 49 no. 3, 487-497, 2013

Modelling financial time series using reflections of copulas

Jozef Komorník and Magda Komorníková

Abstract:

We have intensified studies of reflections of copulas (that we introduced recently in \cite{Kom}) and found that their convex combinations exhibit potentially useful fitting properties for original copulas of the Normal, Frank, Clayton and Gumbel types. We show that these properties enable us to construct interesting models for the relations between investment in stocks and gold.

Keywords:

copula, tail dependence, survival copula, reflections of copulas, stock index, returns of index investments, returns of gold investments

Classification:

93E12, 62A10

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