statistique, théorie et gestion de portefeuille - Docs at ISFA

1−p 95%
1−p 95%
1
0.8
0.6
0.4
0.2
ρ=0.1
ρ=0.3
ρ=0.5
ρ=0.7
ρ=0.9
d 1
0
0 0.1 0.2
1/ν
0.3
1
0.8
0.6
0.4
0.2
ρ=0.1
ρ=0.3
ρ=0.5
ρ=0.7
ρ=0.9
d 3
0
0 0.1 0.2
1/ν
0.3 0.4
1−p 95%
1−p 95%
1
0.8
0.6
0.4
0.2
ρ=0.1
ρ=0.3
ρ=0.5
ρ=0.7
ρ=0.9
d 2
0
0 0.1 0.2
1/ν
0.3
1
0.8
0.6
0.4
0.2
ρ=0.1
ρ=0.3
ρ=0.5
ρ=0.7
ρ=0.9
d 4
0
0 0.1 0.2
1/ν
0.3
Figure 5: Graph of the minimun significance level (1 − p 95%) necessary to distinguish the Gaussian
copula hypothesis H0 from the hypothesis of a student copula with ν degrees of freedom, as a function
of 1/ν, for a given distance di and various correlation coefficients ρ = 0.1, 0.3, 0.5, 0.7 and 0.9.
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