Zastosowania kopuli niesymetrycznych w modelowaniu ekonomicznym
Zastosowania kopuli niesymetrycznych w modelowaniu ekonomicznym

Summary/Abstract: In many cases, multidimensional analysis of economic data must take into consideration non-exchangeability of deliberated factors. Such a peculiar data asymmetry may be modelled with use of asymmetric copulas. In the paper a specific procedure of 2- dimensional asymmetric copula construction is presented and, additionally, illustrated with an analysis of exemplary empirical data, asymmetry of which was previously identified on the basis of a proper test. Despite complexity of asymmetric copula models and some further difficulties caused by them, the presented analysis reveals much higher accuracy and elasticity of asymmetric copula models in comparison with the traditional Archimedean ones.

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