Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
7382900 | Physica A: Statistical Mechanics and its Applications | 2011 | 9 Pages |
Abstract
⺠We perform a large-scale empirical study of copulas on US stock market. ⺠Copulae describe statistical dependencies much more precisely than correlation coefficients. ⺠We compare the empirical copula to the Gaussian copula, which is implied by the usage of many correlation coefficients. ⺠Much of the statistical dependencies originate in the tails of the marginal distributions. ⺠We compare the market's average correlation level to the error of the Gaussian copula.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Michael C. Münnix, Rudi Schäfer,