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

Author

Listed:
  • Bronshtein , Efim

    (Ufa State Aviation Technical University, Russia)

  • Prokudina, Elena

    (Ufa State Aviation Technical University, Russia)

  • Gerasimova, Anna

    (Rosselkhozbank, Bashkir Branch, Ufa, Russia)

  • Dubinskaya, Ksenya

    (Ufa State College of Radioelectronics)

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

Suggested Citation

  • Bronshtein , Efim & Prokudina, Elena & Gerasimova, Anna & Dubinskaya, Ksenya, 2011. "Estimation of the interdependence of time series of stocks prices based on copula," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 22(2), pages 22-31.
    • Handle: RePEc:ris:apltrx:0071
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    References listed on IDEAS

    as
    1. Penikas, H., 2010. "Financial Applications of Copula-Models," Journal of the New Economic Association, New Economic Association, issue 7, pages 24-44.
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    Citations

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    Cited by:

    1. Andrey Bedin & Alexander Kulikov & Andrey Polbin, 2023. "Copula-Based Modelling of Relationship Between Dollar/Rouble Exchange Rate and Oil Prices," Russian Journal of Money and Finance, Bank of Russia, vol. 82(3), pages 87-109, September.
    2. Knyazev, Alexander & Lepekhin, Oleg & Shemyakin, Arkady, 2016. "Joint distribution of stock indices: Methodological aspects of construction and selection of copula models," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 42, pages 30-53.
    3. Bronshtein, Efim & Zinurova, Anna, 2012. "Copulas of a special form and their application to the analysis of the financial market," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 27(3), pages 109-114.

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    More about this item

    Keywords

    stocks; copula function; comonotonicity; countermonotonicity; independence of random values;
    All these keywords.

    JEL classification:

    • C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics

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