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

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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://ebvufind01.dmz1.zbw.eu/10005771824