Copulas for finance

Copulas are a general tool to construct multivariate distributions and to investigate dependence structure between random variables. However, the concept of copula is not popular in Finance. In this paper, we show that copulas can be extensively used to solve many financial problems.

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Year of publication:	2000-03-07
Authors:	Bouye, Eric ; Durlleman, Valdo ; Nikeghbali, Ashkan ; Riboulet, Gaël ; Roncalli, Thierry

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Type of publication:	Book / Working Paper
Language:	English
Notes:	Bouye, Eric and Durlleman, Valdo and Nikeghbali, Ashkan and Riboulet, Gaël and Roncalli, Thierry (2000): Copulas for finance.
Classification:	C51 - Model Construction and Estimation ; c46 ; C01 - Econometrics
Source:	BASE

Persistent link: https://www.econbiz.de/10015231046