• DocumentCode
    3695477
  • Title

    The ε-complexity of copulas

  • Author

    Boris Darkhovsky;Alexandra Piryatinska;Artem Prokhorov;Fujie Xia

  • Author_Institution
    Institute for Systems, Analysis Russian Academy of Sciences, Moskow, Russia
  • fYear
    2015
  • fDate
    6/1/2015 12:00:00 AM
  • Firstpage
    422
  • Lastpage
    427
  • 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.
  • Keywords
    "Approximation methods","Complexity theory","Electronic mail","Joints","Australia","Risk management","Measurement"
  • Publisher
    ieee
  • Conference_Titel
    Industrial Electronics and Applications (ICIEA), 2015 IEEE 10th Conference on
  • Type

    conf

  • DOI
    10.1109/ICIEA.2015.7334150
  • Filename
    7334150
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=3695477