Copulas of a special form and their application to the analysis of the financial market

New classes of copulas of co-monotone and counter-monotone types are introduced. These classes are applied to the analysis of the dynamics of the Russian stock market.

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Year of publication:	2012
Authors:	Bronshtein, Efim ; Zinurova, Anna
Published in:	Applied Econometrics. - Publishing House "SINERGIA PRESS". - Vol. 27.2012, 3, p. 109-114
Publisher:	Publishing House "SINERGIA PRESS"
Subject:	stocks \| copulas \| co-monotonicity \| counter-monotonicity \| independence of random values

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Extent:	application/pdf
Type of publication:	Article
Classification:	C39 - Econometric Methods: Multiple/Simultaneous Equation Models. Other
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010841034