Salvato in:
| Autori principali: | , |
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| Natura: | Preprint |
| Pubblicazione: |
2024
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| Soggetti: | |
| Accesso online: | https://arxiv.org/abs/2403.15862 |
| Tags: |
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Sommario:
- This paper introduces an innovative method for constructing copula models capable of describing arbitrary non-monotone dependence structures. The proposed method enables the creation of such copulas in parametric form, thus allowing the resulting models to adapt to diverse and intricate real-world data patterns. We apply this novel methodology to analyze the relationship between returns and trading volumes in financial markets, a domain where the existence of non-monotone dependencies is well-documented in the existing literature. Our approach exhibits superior adaptability compared to other models which have previously been proposed in the literature, enabling a deeper understanding of the dependence structure among the considered variables.