Title
Joint distribution of stock Indices: Methodological aspects of construction and selection of copula models
Department/School
Mathematics
Date
1-1-2016
Document Type
Article
Keywords
copula, stock indices, empirical Bayes, semiparametric approach, Metropolis algorithm
Abstract
The paper discusses the practical aspects of modeling joint distribution of pairs of national stock indices via copula functions. Parameters of marginal distributions and the association parameter describing the dependence structure are estimated using empirical Bayes method numerically implemented with the help of random walk Metropolis algorithm. A comparison of parametric and semiparametric approaches to copula model construction is performed. The problem of selection of a class of pair copula functions approximating such empirical characteristics of stock indices dependence as Kendall’s concordance, joint empirical cumulative distribution function, and tail behavior.
Volume
42
Published in
Applied Econometrics
Citation/Other Information
Knyazev, A., Lepekhin, O., & Shemyakin, A. (2016). Joint distribution of stock indices: Methodological aspects of construction and selection of copula models. Applied Econometrics, 42, 30-53.