We introduce the concept of ε-complexity of copula functions, discuss its properties and show how to use it in assessing copula specifications based on empirical copulas. The ε-complexity of copulas can be captured by two parameters of a linear regression which are easy to estimate and test. We provide an application focusing on bivariate modeling of stock returns.
| Original language | English |
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| Title of host publication | Proceedings of the 2015 10th IEEE Conference on Industrial Electronics and Applications, ICIEA 2015 |
| Publisher | Institute of Electrical and Electronics Engineers Inc. |
| Pages | 422-427 |
| Number of pages | 6 |
| ISBN (Electronic) | 9781467373173 |
| DOIs | |
| State | Published - 20 Nov 2015 |
| Externally published | Yes |
| Event | 10th IEEE Conference on Industrial Electronics and Applications, ICIEA 2015 - Auckland, New Zealand Duration: 15 Jun 2015 → 17 Jun 2015 |
| Conference | 10th IEEE Conference on Industrial Electronics and Applications, ICIEA 2015 |
|---|---|
| Country/Territory | New Zealand |
| City | Auckland |
| Period | 15/06/15 → 17/06/15 |
ID: 36346184