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Title

Some Statistical Pitfalls in Copula Modeling for Financial Applications

Authors
Fermanian, Jean-David
Year 2004
Collection Cahiers de recherche; 2004.02
Abstract 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.
Keywords CopulasDependence MeasuresRisk Management
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FERMANIAN, Jean-David, SCAILLET, Olivier. Some Statistical Pitfalls in Copula Modeling for Financial Applications. 2004 https://archive-ouverte.unige.ch/unige:5780

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Deposited on : 2010-04-15

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