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Some Statistical Pitfalls In Copula Modeling For Financial Applications

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Author Info

  • Jean-David FERMANIAN

    ()
    (CDC Ixis Capital Markets)

  • Olivier SCAILLET

    ()
    (HEC Genève and FAME, Université de Genève,)

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.

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Bibliographic Info

Paper provided by International Center for Financial Asset Management and Engineering in its series FAME Research Paper Series with number rp108.

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Date of creation: Mar 2004
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Handle: RePEc:fam:rpseri:rp108

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Keywords: Copulas; Dependence Measures; Risk Management;

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Cited by:
  1. Abel Elizalde, 2006. "Credit Risk Models I: Default Correlation In Intensity Models," Working Papers wp2006_0605, CEMFI.
  2. Hubbard, Timothy P. & Li, Tong & Paarsch, Harry J., 2011. "Semiparametric Estimation in Models of First-Price, Sealed-Bid Auctions with Affiliation," CEI Working Paper Series 2010-10, Center for Economic Institutions, Institute of Economic Research, Hitotsubashi University.
  3. Manner, Hans, 2007. "Estimation and Model Selection of Copulas with an Application to Exchange Rates," Research Memorandum 056, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  4. Oleg Sokolinskiy & Dick van Dijk, 2011. "Forecasting Volatility with Copula-Based Time Series Models," Tinbergen Institute Discussion Papers 11-125/4, Tinbergen Institute.

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