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Title: A copula test space model how to avoid the wrong copula choice (English)
Author: Michiels, Frederik
Author: De Schepper, Ann
Language: English
Journal: Kybernetika
ISSN: 0023-5954
Volume: 44
Issue: 6
Year: 2008
Pages: 864-878
Summary lang: English
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Category: math
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Summary: We introduce and discuss the test space problem as a part of the whole copula fitting process. In particular, we explain how an efficient copula test space can be constructed by taking into account information about the existing dependence, and we present a complete overview of bivariate test spaces for all possible situations. The practical use will be illustrated by means of a numerical application based on an illustrative portfolio containing the S&P 500 Composite Index, the JP Morgan Government Bond Index and the NAREIT All index. (English)
Keyword: copula
Keyword: Kendall’s tau
Keyword: goodness-of-fit
Keyword: copula test space
Keyword: associated copulas
MSC: 62H12
MSC: 62H20
MSC: 62P05
idZBL: Zbl 1206.62119
idMR: MR2488912
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Date available: 2009-09-24T20:40:59Z
Last updated: 2013-09-21
Stable URL: http://hdl.handle.net/10338.dmlcz/135896
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