Tail dependence of perturbed copulas

Abstract

In this paper, we extend our investigations of a special class of perturbations of copulas introduced in [7]. Despite a surprising fact that this kind of perturbations does not change the value of tail dependence of the original copulas, their use yielded models with considerably improved fitting qualities.

Keywords

• Copula; perturbation of copula; tail dependence; Real Estate Investment Trust (REIT) index; returns of REIT indexes.