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De Copulis non est Disputandum, Copulae: An Overview
Year Of Publication: 2009
Month Of Publication: May
Pages: 30
Download Count: 3
View Count: 1873
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 4-7-2013
Publisher: Administrator
Normal distribution of residuals is a traditional assumption in multivariate models. It is, however, not very often consistent with real data. Copulae allow for an extension of dependency models to nonellipticity and for separation of margins from the dependency. This paper provides a survey of copulae where different copula classes, estimation and simulation techniques and goodness-of-fit tests are considered. In the empirical section we apply different copulae to the static and dynamic Value-at-Risk of portfolio returns and Profit-and-Loss function.
This document is published in ASA Advances in Statistical Analysis (volume 94, number 1) March 2010, 1-31.
Hardle, Wolfgang Sign in to follow this author
Okhrin, Ostap Sign in to follow this author
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