Economics, Econometrics and Finance
7 years ago

New method predicts stock market trends with unprecedented accuracy

The Journal of Risk
Nonparametric estimation of copulas for time series
Jean‐David Fermanian, Olivier Scaillet

Paper Summary

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The article discusses a method to estimate copulas, which are functions that connect joint distributions to individual parts. The researchers used a nonparametric approach and found that their estimators have certain properties when applied to a specific type of data. They tested their method on stock market data and compared it to other common copulas.