Title
A copula test space model: how to avoid the wrong copula choice A copula test space model: how to avoid the wrong copula choice
Author
Faculty/Department
Faculty of Applied Economics
Publication type
article
Publication
Praha ,
Subject
Computer. Automation
Source (journal)
Kybernetika. - Praha
Volume/pages
44(2008) :6 , p. 864-878
ISSN
0023-5954
ISI
000263353300010
Carrier
E
Target language
English (eng)
Affiliation
University of Antwerp
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
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