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Copulas of a special form and their application to the analysis of the financial market

Author

Listed:
  • Bronshtein, Efim

    () (Ufa State Aviation Technical University, Russia)

  • Zinurova, Anna

    () (Ufa State Aviation Technical University, Russia)

Abstract

New classes of copulas of co-monotone and counter-monotone types are introduced. These classes are applied to the analysis of the dynamics of the Russian stock market.

Suggested Citation

  • 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.
  • Handle: RePEc:ris:apltrx:0180
    as

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    File URL: http://pe.cemi.rssi.ru/pe_2012_3_109-114.pdf
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    References listed on IDEAS

    as
    1. 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.
    2. Nikolay Nenovsky & S. Statev, 2006. "Introduction," Post-Print halshs-00260898, HAL.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    stocks; copulas; co-monotonicity; counter-monotonicity; independence of random values;

    JEL classification:

    • C39 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Other

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