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


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)


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

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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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