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Some Statistical Pitfalls in Copula Modeling for Financial Applications

Collection
  • Cahiers de recherche; 2004.02
Publication date2004
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
Citation (ISO format)
FERMANIAN, Jean-David, SCAILLET, Olivier. Some Statistical Pitfalls in Copula Modeling for Financial Applications. 2004
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Identifiers
  • PID : unige:5780
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