• Home
  1. Home
  2. Some Statistical Pitfalls in Copula Modeling for Financial Applications
Report
OA Policy
English

Some Statistical Pitfalls in Copula Modeling for Financial Applications

Contributors

Fermanian, Jean-David; Scaillet, Olivier

Collection

  • Cahiers de recherche; 2004.02

Publication date

2004

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

  • Copulas
  • Dependence Measures
  • Risk Management

UNIGE affiliation entities

Citation (ISO format)

FERMANIAN, Jean-David, SCAILLET, Olivier. Some Statistical Pitfalls in Copula Modeling for Financial Applications. 2004

Main files (1)

Report

Identifiers

  • PID : unige:5780
685views
1401downloads

Technical informations

Creation

15/04/2010 12:20:02

First validation

15/04/2010 12:20:02

Update

14/03/2023 15:26:33

Status update

14/03/2023 15:26:33

Last indexation

29/10/2024 14:22:58
All rights reserved by Archive ouverte UNIGE and the University of Geneva
OpenAIRE Indexed & Validated