Estimation of the interdependence of time series of stocks prices based on copula

The relationships in the stock markets, the impact on them of the structural changes in the economy, the ability to adequately forecast for a certain period are investigated. The analysis of the interdependence of stock prices by using copula functions is carried out. The statistical estimations of...

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Bibliographic Details
Published inApplied Econometrics Vol. 22; no. 2; pp. 22 - 31
Main Authors Bronshtein, Efim, Prokudina, Elena, Gerasimova, Anna, Dubinskaya, Ksenya
Format Journal Article
LanguageRussian
Published Publishing House "Market DS" 2011
SeriesApplied Econometrics
Subjects
comonotonicity
copula function
countermonotonicity
independence of random values
stocks
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Summary:The relationships in the stock markets, the impact on them of the structural changes in the economy, the ability to adequately forecast for a certain period are investigated. The analysis of the interdependence of stock prices by using copula functions is carried out. The statistical estimations of copulas on a lattice with a step 0.1 are constructed. The distances in the metric L1 from the empirical copula to the maximum (comonotonic), minimum (countermonotonic) and independent copulas are compared