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.

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Year of publication:	2004-03-01
Authors:	Fermanian, Jean-David ; Scaillet, Olivier
Institutions:	Institut für Schweizerisches Bankwesen <Zürich> ; National Centre of Competence in Research North South <Bern>
Subject:	Statistik \| Risikomanagement \| risk management \| Kopula <Mathematik> \| Copulas

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Extent:	21 p. application/pdf
Series:	Universität Zürich - Institut für Schweizerisches Bankwesen - Working Papers Working Paper ; No. 157 (2004)
Type of publication:	Book / Working Paper
Language:	English
Classification:	Corporate finance and investment policy. General ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005858145