Estimation of the interdependence of time series of stocks prices based on copula

Efim Bronshtein, Elena Prokudina (), Anna Gerasimova () and Ksenya Dubinskaya ()
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Elena Prokudina: Ufa State Aviation Technical University, Russia
Anna Gerasimova: Rosselkhozbank, Bashkir Branch, Ufa, Russia
Ksenya Dubinskaya: Ufa State College of Radioelectronics

Applied Econometrics, 2011, vol. 22, issue 2, 22-31

Abstract: The relationships in the stock markets, the impact on them of the structural changes in the economy, the ability to adequately forecast for a certain period are investigated. The analysis of the interdependence of stock prices by using copula functions is carried out. The statistical estimations of copulas on a lattice with a step 0.1 are constructed. The distances in the metric L1 from the empirical copula to the maximum (comonotonic), minimum (countermonotonic) and independent copulas are compared

Keywords: stocks; copula function; comonotonicity; countermonotonicity; independence of random values (search for similar items in EconPapers)
JEL-codes: C02 C58 (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (3)

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