Evolution of Copulas in Discrete Processes with Application to a Numerical Modeling of Dependence Relation Between Exchange Rates.

Lecture Notes in Computer Science(2017)

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摘要
Copulas are known to provide a flexible tool for analyzing the dependence structure between random events. Here we apply the newly introduced notion of evolution of copulas to real data of exchange rates so that we ensure the quality of practically employing our theory. Results show that our algorithm provides a prospective handy method in computational finance.
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