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Inference on copula-based correlation structures

We propose an extension of the approach provided by Kluppelberg and Kuhn (2009) for inference on second-order structure moments. As in Kluppelberg and Kuhn (2009) we adopt a copula-based approach instead of assuming normal distribution for the variables, thus relaxing the equality in distribution assumption. A new copula-based estimator for structure moments is investigated. The methodology provided by Kluppelberg and Kuhn (2009) is also extended considering the copulas associated with the family of Eyraud-Farlie-Gumbel-Morgenstern distribution functions (Kotz, Balakrishnan, and Johnson, 2000, Equation 44.73). Finally, a comprehensive simulation study and an application to real financial data are performed in order to compare the different approaches.

Identiferoai:union.ndltd.org:unibo.it/oai:amsdottorato.cib.unibo.it:3373
Date18 March 2011
CreatorsFoscolo, Enrico <1983>
ContributorsLuati, Alessandra
PublisherAlma Mater Studiorum - Università di Bologna
Source SetsUniversità di Bologna
LanguageEnglish
Detected LanguageEnglish
TypeDoctoral Thesis, PeerReviewed
Formatapplication/pdf
Rightsinfo:eu-repo/semantics/openAccess

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