IDEAS home Printed from https://ideas.repec.org/a/ris/apltrx/0071.html
   My bibliography  Save this article

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

Author

Listed:
  • 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

Suggested Citation

  • Bronshtein , Efim & Prokudina, Elena & Gerasimova, Anna & Dubinskaya, Ksenya, 2011. "Estimation of the interdependence of time series of stocks prices based on copula," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 22(2), pages 22-31.
  • Handle: RePEc:ris:apltrx:0071
    as

    Download full text from publisher

    File URL: http://pe.cemi.rssi.ru/pe_2011_2_22-31.pdf
    File Function: Full text
    Download Restriction: no

    References listed on IDEAS

    as
    1. Nikolay Nenovsky & S. Statev, 2006. "Introduction," Post-Print halshs-00260898, HAL.
    2. Penikas, H., 2010. "Financial Applications of Copula-Models," Journal of the New Economic Association, New Economic Association, issue 7, pages 24-44.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Knyazev, Alexander & Lepekhin, Oleg & Shemyakin, Arkady, 2016. "Joint distribution of stock indices: Methodological aspects of construction and selection of copula models," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 42, pages 30-53.
    2. 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.

    More about this item

    Keywords

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

    JEL classification:

    • C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ris:apltrx:0071. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Anatoly Peresetsky). General contact details of provider: http://appliedeconometrics.cemi.rssi.ru/ .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.