Copula-Based Models for Financial Time Series
AbstractThis paper presents an overview of the literature on applications of copulas in the modelling of financial time series. Copulas have been used both in multivariate time series analysis, where they are used to charaterise the (conditional) cross-sectional dependence between individual time series, and in univariate time series analysis, where they are used to characterise the dependence between a sequence of observations of a scalar time series process. The paper includes a broad, brief, review of the many applications of copulas in finance and economics.
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Bibliographic InfoPaper provided by Oxford Financial Research Centre in its series OFRC Working Papers Series with number 2008fe21.
Date of creation: 2008
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- NEP-ALL-2008-03-08 (All new papers)
- NEP-ECM-2008-03-08 (Econometrics)
- NEP-ETS-2008-03-08 (Econometric Time Series)
- NEP-FMK-2008-03-08 (Financial Markets)
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