Copula function estimation using FT technique

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F18%3A10240610" target="_blank" >RIV/61989100:27510/18:10240610 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Copula function estimation using FT technique
Original language description
Modelling of multidimensional distribution function can be in finance divided into two steps: modelling of univariate marginal distributions and modelling of a dependency. The dependency is usually handled by means of copula function, which links together the marginal distributions and thus create a multidimensional distribution function. However, the estimation of the copula function parameters is problematic as these are not directly observable. In this contribution, we apply fuzzy transform (FT) filter for estimation and smoothing of copula functions. Based on illustrative study of two stock market indices we show some interesting properties of this novel approach.
Czech name
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Czech description
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Project
<a href="/en/project/GA18-13951S" target="_blank" >GA18-13951S: New approaches to financial time series modelling based on soft computing</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2018
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Managing and Modelling of Financial Risks : 9th international scientific conference : 5th-6th September 2018, Ostrava, Czech Republic : proceedings
ISBN
978-80-248-4225-7
ISSN
2464-6970
e-ISSN
2464-6989
Number of pages
9
Pages from-to
545-549
Publisher name
VŠB - Technical University of Ostrava
Place of publication
Ostrava
Event location
Ostrava
Event date
Sep 5, 2018
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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