Geodesic
Modelling financial time series using reflections of copulas
Kybernetika, Tome 49 (2013) no. 3, pp. 487-497 Cet article a éte moissonné depuis la source Czech Digital Mathematics Library

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We have intensified studies of reflections of copulas (that we introduced recently in [6]) and found that their convex combinations exhibit potentially useful fitting properties for original copulas of the Normal, Frank, Clayton and Gumbel types. We show that these properties enable us to construct interesting models for the relations between investment in stocks and gold.
We have intensified studies of reflections of copulas (that we introduced recently in [6]) and found that their convex combinations exhibit potentially useful fitting properties for original copulas of the Normal, Frank, Clayton and Gumbel types. We show that these properties enable us to construct interesting models for the relations between investment in stocks and gold.
Classification : 62A10, 93E12
Keywords: copula; tail dependence; survival copula; reflections of copulas; stock index; returns of index investments; returns of gold investments 
@article{KYB_2013_49_3_a7,
     author = {Komorn{\'\i}k, Jozef and Komorn{\'\i}kov\'a, Magda},
     title = {Modelling financial time series using reflections of copulas},
     journal = {Kybernetika},
     pages = {487--497},
     year = {2013},
     volume = {49},
     number = {3},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/KYB_2013_49_3_a7/}
}
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Komorník, Jozef; Komorníková, Magda. Modelling financial time series using reflections of copulas. Kybernetika, Tome 49 (2013) no. 3, pp. 487-497. http://geodesic.mathdoc.fr/item/KYB_2013_49_3_a7/