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

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Author Info

  • Bronshtein , Efim

    ()
    (Ufa State Aviation Technical University, Russia)

  • Prokudina, Elena

    ()
    (Ufa State Aviation Technical University, Russia)

  • Gerasimova, Anna

    ()
    (Rosselkhozbank, Bashkir Branch, Ufa, Russia)

  • Dubinskaya, Ksenya

    ()
    (Ufa State College of Radioelectronics)

Abstract

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

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File URL: http://pe.cemi.rssi.ru/pe_2011_2_22-31.pdf
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Bibliographic Info

Article provided by Publishing House "SINERGIA PRESS" in its journal Applied Econometrics.

Volume (Year): 22 (2011)
Issue (Month): 2 ()
Pages: 22-31

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Handle: RePEc:ris:apltrx:0071

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Web page: http://appliedeconometrics.cemi.rssi.ru/

Related research

Keywords: stocks; copula function; comonotonicity; countermonotonicity; independence of random values;

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References

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  1. Penikas, H., 2010. "Financial Applications of Copula-Models," Journal of the New Economic Association, New Economic Association, issue 7, pages 24-44.
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Cited by:
  1. Bronshtein, Efim & Zinurova, Anna, 2012. "Copulas of a special form and their application to the analysis of the financial market," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 27(3), pages 109-114.

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