Publication
Title
A copula test space model: how to avoid the wrong copula choice
Author
Abstract
We introduce and discuss the test space problem as a part of the whole copula fitting process. In particular, we explain how an efficient copula test space can be constructed by taking into account information about the existing dependence, and we present a complete overview of bivariate test spaces for all possible situations. The practical use will be illustrated by means of a numerical application based on an illustrative portfolio containing the S&P 500 Composite Index, the JP Morgan Government Bond Index and the NAREIT All index
Language
English
Source (journal)
Kybernetika. - Praha
Publication
Praha : 2008
ISSN
0023-5954
Volume/pages
44:6(2008), p. 864-878
ISI
000263353300010
UAntwerpen
Faculty/Department
Research group
Publication type
Subject
Affiliation
Publications with a UAntwerp address
External links
Web of Science
Record
Identification
Creation 23.01.2009
Last edited 01.08.2017
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