Результаты исследований: Публикации в книгах, отчётах, сборниках, трудах конференций › статья в сборнике материалов конференции › научная › Рецензирование
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 конференций › статья в сборнике материалов конференции › научная › Рецензирование
}
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