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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
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Comment Num: 0
Language: EN
Who Can Read: Free
Date: 6-1-2007
Publisher: Administrator
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.
Williams, Julian Sign in to follow this author
Ioannidis, Christos Sign in to follow this author
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