64th ISI World Statistics Congress - Ottawa, Canada

64th ISI World Statistics Congress - Ottawa, Canada

Copulla Modeling to Analyse Financial Data Case Studies Indonesia Composite Index to Asiana Stock Index


64th ISI World Statistics Congress - Ottawa, Canada

Format: CPS Abstract

Keywords: bivariate, copula, dependencies, financial

Session: CPS 44 - Statistical modelling II

Tuesday 18 July 8:30 a.m. - 9:40 a.m. (Canada/Eastern)


Copula modelling is a famous device in analysing the dependencies amongst variables. Copula modelling permits the studies of tail dependencies, that is of specific interest in risk and survival packages. Copula modelling is also of specific interest to economic and monetary modelling as it may assist inside the prediction of monetary contagion and durations of “growth” or “bust”. Bivariate copula modelling has a rich style of copulas that can be chosen to symbolize the modelled dataset dependencies and feasible intense activities which could lie inside the dataset tails. Financial copula modelling has a bent to diverge as this richness of copula sorts within the literature won't be well realised with the two particular styles of modelling, one being non-time-collection and the opportunity being time-collection, being undertaken in every other way. This paper investigates substantial copula modelling and monetary copula modelling and shows why the modelling techniques inside the use of time-series and non-time-series copula modelling is undertaken the use of different strategies. This difference, other than the problems surrounding the time-collection problem, is in most cases due to widespread copula modelling having the functionality to use empirical CDFs for the possibility critical transformation. Financial time-collection copula modelling makes use of pseudo-CDFs due to the standardized time-collection residuals being focused spherical 0. The standardized residuals inhibit the estimation of the possible distributions required for constructing the copula version inside the traditional manner