Normal tempered stable copula

Young Shin Kim; David S. Volkmann

doi:10.1016/j.aml.2013.01.009

Normal tempered stable copula

Young Shin Kim
, David S. Volkmann

Dean's Office, College of Business

Swiss Federal Institute of Technology Zurich

Research output: Contribution to journal › Article › peer-review

9 Scopus citations

Abstract

In this paper, we discuss a copula defined by the Gaussian subordination method. The copula can capture the dependence between extreme events, and asymmetric dependence, which are observed in empirical financial return distributions. We further perform an empirical test for this new copula against the standard Gaussian copula using 10 years daily returns of the Standard&Poor's 500 (S&P500) and the Deutscher Aktien Index (DAX) equity market indices.

Original language	English
Pages (from-to)	676-680
Number of pages	5
Journal	Applied Mathematics Letters
Volume	26
Issue number	7
DOIs	https://doi.org/10.1016/j.aml.2013.01.009
State	Published - Jul 2013

Keywords

Asymmetric dependency
Copula
Normal tempered stable copula

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10.1016/j.aml.2013.01.009

Cite this

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title = "Normal tempered stable copula",

abstract = "In this paper, we discuss a copula defined by the Gaussian subordination method. The copula can capture the dependence between extreme events, and asymmetric dependence, which are observed in empirical financial return distributions. We further perform an empirical test for this new copula against the standard Gaussian copula using 10 years daily returns of the Standard\&Poor's 500 (S\&P500) and the Deutscher Aktien Index (DAX) equity market indices.",

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AB - In this paper, we discuss a copula defined by the Gaussian subordination method. The copula can capture the dependence between extreme events, and asymmetric dependence, which are observed in empirical financial return distributions. We further perform an empirical test for this new copula against the standard Gaussian copula using 10 years daily returns of the Standard&Poor's 500 (S&P500) and the Deutscher Aktien Index (DAX) equity market indices.

KW - Asymmetric dependency

KW - Copula

KW - Normal tempered stable copula

UR - https://www.scopus.com/pages/publications/84876692916

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DO - 10.1016/j.aml.2013.01.009

M3 - Article

AN - SCOPUS:84876692916

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VL - 26

SP - 676

EP - 680

JO - Applied Mathematics Letters

JF - Applied Mathematics Letters

IS - 7

ER -

Normal tempered stable copula

Abstract

Keywords

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