Sökning: "Richard Koivusalo"

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  1. 1. Statistical analysis of empirical pairwise copulas for the S&P 500 stocks

    Magister-uppsats, KTH/Matematisk statistik

    Författare :Richard Koivusalo; [2012]
    Nyckelord :Tail dependence; Tail concentration function; Measure of similarity; Copula; Archimedean; Kendall s tau; Spearman s rho; Gaussian; t copula; Clayton;

    Sammanfattning : It is of great importance to find an analytical copula that will represent the empirical lower tail dependence. In this study, the pairwise empirical copula are estimated using data of the S&P 500 stocks during the period 2007-2010. LÄS MER