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The ε-complexity of copulas. / Darkhovsky, Boris; Piryatinska, Alexandra; Prokhorov, Artem; Xia, Fujie.

Proceedings of the 2015 10th IEEE Conference on Industrial Electronics and Applications, ICIEA 2015. Institute of Electrical and Electronics Engineers Inc., 2015. стр. 422-427 7334150.

Результаты исследований: Публикации в книгах, отчётах, сборниках, трудах конференцийстатья в сборнике материалов конференциинаучнаяРецензирование

Harvard

Darkhovsky, B, Piryatinska, A, Prokhorov, A & Xia, F 2015, The ε-complexity of copulas. в Proceedings of the 2015 10th IEEE Conference on Industrial Electronics and Applications, ICIEA 2015., 7334150, Institute of Electrical and Electronics Engineers Inc., стр. 422-427, 10th IEEE Conference on Industrial Electronics and Applications, ICIEA 2015, Auckland, Новая Зеландия, 15/06/15. https://doi.org/10.1109/ICIEA.2015.7334150

APA

Darkhovsky, B., Piryatinska, A., Prokhorov, A., & Xia, F. (2015). The ε-complexity of copulas. в Proceedings of the 2015 10th IEEE Conference on Industrial Electronics and Applications, ICIEA 2015 (стр. 422-427). [7334150] Institute of Electrical and Electronics Engineers Inc.. https://doi.org/10.1109/ICIEA.2015.7334150

Vancouver

Darkhovsky B, Piryatinska A, Prokhorov A, Xia F. The ε-complexity of copulas. в Proceedings of the 2015 10th IEEE Conference on Industrial Electronics and Applications, ICIEA 2015. Institute of Electrical and Electronics Engineers Inc. 2015. стр. 422-427. 7334150 https://doi.org/10.1109/ICIEA.2015.7334150

Author

Darkhovsky, Boris ; Piryatinska, Alexandra ; Prokhorov, Artem ; Xia, Fujie. / The ε-complexity of copulas. Proceedings of the 2015 10th IEEE Conference on Industrial Electronics and Applications, ICIEA 2015. Institute of Electrical and Electronics Engineers Inc., 2015. стр. 422-427

BibTeX

@inproceedings{92e4fea97152450f82f196a421e2dc35,
title = "The ε-complexity of copulas",
abstract = "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.",
author = "Boris Darkhovsky and Alexandra Piryatinska and Artem Prokhorov and Fujie Xia",
year = "2015",
month = nov,
day = "20",
doi = "10.1109/ICIEA.2015.7334150",
language = "English",
pages = "422--427",
booktitle = "Proceedings of the 2015 10th IEEE Conference on Industrial Electronics and Applications, ICIEA 2015",
publisher = "Institute of Electrical and Electronics Engineers Inc.",
address = "United States",
note = "10th IEEE Conference on Industrial Electronics and Applications, ICIEA 2015 ; Conference date: 15-06-2015 Through 17-06-2015",

}

RIS

TY - GEN

T1 - The ε-complexity of copulas

AU - Darkhovsky, Boris

AU - Piryatinska, Alexandra

AU - Prokhorov, Artem

AU - Xia, Fujie

PY - 2015/11/20

Y1 - 2015/11/20

N2 - 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.

AB - 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.

UR - http://www.scopus.com/inward/record.url?scp=84960898676&partnerID=8YFLogxK

U2 - 10.1109/ICIEA.2015.7334150

DO - 10.1109/ICIEA.2015.7334150

M3 - Conference contribution

AN - SCOPUS:84960898676

SP - 422

EP - 427

BT - Proceedings of the 2015 10th IEEE Conference on Industrial Electronics and Applications, ICIEA 2015

PB - Institute of Electrical and Electronics Engineers Inc.

T2 - 10th IEEE Conference on Industrial Electronics and Applications, ICIEA 2015

Y2 - 15 June 2015 through 17 June 2015

ER -

ID: 36346184