Tails of correlation mixtures of elliptical copulas

Details Tails of correlation mixtures of elliptical copulas Tails of correlation mixtures of elliptical copulas

2009-12-17

arxiv.org/abs/0912.3516v1

Mathematics

Statistics Theory

21 pages, 3 figures

Scientific paper

Correlation mixtures of elliptical copulas arise when the correlation parameter is driven itself by a latent random process. For such copulas, both penultimate and asymptotic tail dependence are much larger than for ordinary elliptical copulas with the same unconditional correlation. Furthermore, for Gaussian and Student t-copulas, tail dependence at sub-asymptotic levels is generally larger than in the limit, which can have serious consequences for estimation and evaluation of extreme risk. Finally, although correlation mixtures of Gaussian copulas inherit the property of asymptotic independence, at the same time they fall in the newly defined category of near asymptotic dependence. The consequences of these findings for modeling are assessed by means of a simulation study and a case study involving financial time series.

Affiliated with

Also associated with

No associations

Rating

Tails of correlation mixtures of elliptical copulas does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Tails of correlation mixtures of elliptical copulas, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Tails of correlation mixtures of elliptical copulas will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-348630