Please use this identifier to cite or link to this item: http://cmuir.cmu.ac.th/jspui/handle/6653943832/59123
Title: A nonlinear time-varying copula using kink approach
Authors: Rungrapee Phadkantha
Woraphon Yamaka
Songsak Sriboonchitta
Keywords: Physics and Astronomy
Issue Date: 26-Jul-2018
Abstract: © Published under licence by IOP Publishing Ltd. The structural change in copula parameter is motivates us to propose a flexible non-linear time varying copula that allows for capturing the structural change in the time varying dependence between variables. In this study, two families of Elliptical copula, namely Gaussian and Student-t copulas, are considered. We conduct a simulation study to examine the performance and accuracy of the proposed model and we obtain the reliable and acceptable results. In addition, the new model is applied to explain the dependence between S&P 500 and FTSE 100 stock markets. The proposed model fits well with these datasets and shows evidence of structural change in the dependence structure overtime. Moreover, the nonlinear time varying copula outperforms the conventional linear time varying copula suggesting that our model can detect better the dependence structure of these two stock markets.
URI: https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85051400824&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/59123
ISSN: 17426596
17426588
Appears in Collections:CMUL: Journal Articles

Files in This Item:
There are no files associated with this item.


Items in CMUIR are protected by copyright, with all rights reserved, unless otherwise indicated.