Copulas of a special form and their application to the analysis of the financial market

Efim Bronshtein and Anna Zinurova ()
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Anna Zinurova: Ufa State Aviation Technical University, Russia

Applied Econometrics, 2012, vol. 27, issue 3, 109-114

Abstract: New classes of copulas of co-monotone and counter-monotone types are introduced. These classes are applied to the analysis of the dynamics of the Russian stock market.

Keywords: stocks; copulas; co-monotonicity; counter-monotonicity; independence of random values (search for similar items in EconPapers)
JEL-codes: C39 (search for similar items in EconPapers)
Date: 2012
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