Essays about: "Richard Koivusalo"

Found 1 essay containing the words Richard Koivusalo.

  1. 1. Statistical analysis of empirical pairwise copulas for the S&P 500 stocks

    University essay from KTH/Matematisk statistik

    Author : Richard Koivusalo; [2012]
    Keywords : Tail dependence; Tail concentration function; Measure of similarity; Copula; Archimedean; Kendall s tau; Spearman s rho; Gaussian; t copula; Clayton;

    Abstract : It is of great importance to find an analytical copula that will represent the empirical lower tail dependence. In this study, the pairwise empirical copula are estimated using data of the S&P 500 stocks during the period 2007-2010. READ MORE