کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5077133 1374118 2011 8 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Tails of correlation mixtures of elliptical copulas
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
Tails of correlation mixtures of elliptical copulas
چکیده انگلیسی
Correlation mixtures of elliptical copulas arise when the correlation parameter is driven itself by a latent random process. For such copulas, both penultimate and asymptotic tail dependence are much larger than for ordinary elliptical copulas with the same unconditional correlation. Furthermore, for Gaussian and Student t-copulas, tail dependence at sub-asymptotic levels is generally larger than in the limit, which can have serious consequences for estimation and evaluation of extreme risk. Finally, although correlation mixtures of Gaussian copulas inherit the property of asymptotic independence, at the same time they fall in the newly defined category of near asymptotic dependence. The consequences of these findings for modeling are assessed by means of a simulation study and a case study involving financial time series.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 48, Issue 1, January 2011, Pages 153-160
نویسندگان
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