Simulation for Mixture of Archimedean Copulas

Abstract:

Many dependence structures can consist of mixed copulas. In order to analyze the dependence of stock, we present the method of estimation for mixed copula models. Via generating random samples and using maximum likelihood estimation, the parameters of mixture of Archimedean copulas are estimated. Numerical results show that this method estimates effectively the parameters and tail dependence coefficients. Therefore we can use the method to analyze dependence structure for stocks.

• Periodical: Applied Mechanics and Materials (Volumes 195-196)
• Pages: 738-743
• DOI: https://doi.org/10.4028/www.scientific.net/AMM.195-196.738
• Online since: August 2012
• Authors: Shi De Ou
• Keywords: Archimedean Copula, Mixed Copula, Tail Dependence

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