2014 Fiscal Year Final Research Report
New copula modesl for survival and ordered data
| Project/Area Number |
24530227
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Multi-year Fund |
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| Section | 一般 |
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| Research Field |
Economic statistics
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| Research Institution | Yokohama National University |
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Principal Investigator |
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| Project Period (FY) |
2012-04-01 – 2015-03-31
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| Keywords | copula / 柔軟性 / Value at Risk / Expected Shortfall |
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| Outline of Final Research Achievements |
We propose a new parametric copula that has more variability of asymmetry and tail dependence than conventional copulas. Then we can analyze survival analysis, credit ratings , Value at Risks, and Expected shortfall by a single family of copula, without being bothered with the choice of appropriate copulas.
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| Free Research Field |
計量経済学
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