Document Search
Add To My Bookshelf Sign in or Register Save And Annotate
Keywords:

copula sign in to follow this
nonparametric sign in to follow this
marginal sign in to follow this
distribution sign in to follow this
mutivariate sign in to follow this
Categories:

VaR Methods sign in to follow this
--Extreme Value Theory sign in to follow this
Half-Life:
Impact:
Discuss This Paper
Sign in to follow this page
Recent Comments
  more
A Black Box Approach to Copulas: The Non-parametric Empirical Copula Approach
Year Of Publication: 2007
Month Of Publication: January
Pages: 10
Download Count: 415
View Count:
Comment Num: 0
Language: EN
Source:
Who Can Read: Free
Date: 6-1-2007
Publisher: Administrator
Summary
Copula approaches to financial problems, such as asset allocationand extreme event analysis have traditionally been hampered by system identificationproblems. In general there is very little coherent advice in the literatureon the selection of the most appropriate joint and marginal distributions.In this paper a new non-parametric empirical copula methodology is proposed,which negates the need to specify the functional forms of the density functionsand provides a black box approach to analyzing multivariate dependency.
Author(s)
Williams, Julian Sign in to follow this author
Ioannidis, Christos Sign in to follow this author
This document's citation network:
Similar Documents:
Close window
Sign up in one step, no personal information required. Already a Member?



Email:
Repeat Email:
User Name:
Password:
Confirm Password:

Sign Up


Welcome to GloriaMundi!
Thanks for singning up



continue or edit your profile