Some Statistical Pitfalls In Copula Modeling For Financial Applications
AbstractIn 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 InfoPaper provided by International Center for Financial Asset Management and Engineering in its series FAME Research Paper Series with number rp108.
Date of creation: Mar 2004
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Copulas; Dependence Measures; Risk Management;
Find related papers by JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
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- Abel Elizalde, 2006. "Credit Risk Models I: Default Correlation In Intensity Models," Working Papers wp2006_0605, CEMFI.
- 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).
- 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.
- Hubbard, Timothy P. & Li, Tong & Paarsch, Harry J., 2012. "Semiparametric estimation in models of first-price, sealed-bid auctions with affiliation," Journal of Econometrics, Elsevier, vol. 168(1), pages 4-16.
- 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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