Abstract
In this paper, we extend our investigations of a special class of perturbations of copulas introduced in [7]. Despite a surprising fact that this kind of perturbations does not change the value of tail dependence of the original copulas, their use yielded models with considerably improved fitting qualities.
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This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).
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Komorník, J., Komorníková, M., Kalická, J. et al. Tail dependence of perturbed copulas. J Stat Theory Appl 15, 153–160 (2016). https://doi.org/10.2991/jsta.2016.15.2.5
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DOI: https://doi.org/10.2991/jsta.2016.15.2.5
Keywords
- Copula
- perturbation of copula
- tail dependence
- Real Estate Investment Trust (REIT) index
- returns of REIT indexes