SOME STATISTICAL PITFALLS IN COPULA MODELING FOR FINANCIAL APPLICATIONS

In this paper we discuss some statistical pitfalls that may occur in modeling cross-dependences with copulas in financial applications. In particular we focus on issues arising in the estimation and the empirical choice of copulas as well as in the design of time-dependent copulas.

MoreLess

Year of publication:	2004-03
Authors:	FERMANIAN, Jean-David ; SCAILLET, Olivier
Institutions:	Swiss Finance Institute
Subject:	Copulas \| Dependence Measures \| Risk Management

freely available

Full text |

More access options

Check Google Scholar

In German libraries (KVK)

I need help

More details

Extent:	application/pdf
Series:	FAME Research Paper Series.
Type of publication:	Book / Working Paper
Language:	English
Classification:	C12 - Hypothesis Testing ; C13 - Estimation ; C14 - Semiparametric and Nonparametric Methods ; C52 - Model Evaluation and Testing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005771824