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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Oxford Financial Research Centre in its series OFRC Working Papers Series with number 2008fe21.
Date of creation: 2008
Date of revision:
Other versions of this item:
- 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)
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Diks, Cees & Panchenko, Valentyn & van Dijk, Dick, 2010.
"Out-of-sample comparison of copula specifications in multivariate density forecasts,"
Journal of Economic Dynamics and Control,
Elsevier, vol. 34(9), pages 1596-1609, September.
- Cees Diks & Valentyn Panchenko & Dick van Dijk, 2008. "Out-of-sample Comparison of Copula Specifications in Multivariate Density Forecasts," Tinbergen Institute Discussion Papers 08-105/4, Tinbergen Institute.
- Cees Diks & Valentyn Panchenko & Dick van Dijk, 2008. "Out-of-sample comparison of copula specifications in multivariate density forecasts," Discussion Papers 2008-23, School of Economics, The University of New South Wales.
- Diks, C.G.H. & Dijk, D. van & Panchenko, V., 2008. "Out-of-sample comparison of copula specifications in multivariate density forecasts," CeNDEF Working Papers 08-10, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- Oleg Sokolinskiy & Dick van Dijk, 2011. "Forecasting Volatility with Copula-Based Time Series Models," Tinbergen Institute Discussion Papers 11-125/4, Tinbergen Institute.
- Vandna Jowaheer & Nafeessah Z. B. Ameerudden, 2012. "Modelling the Dependence Structure of MUR/USD and MUR/INR Exchange Rates using Copula," International Journal of Economics and Financial Issues, Econjournals, vol. 2(1), pages 27-32.
- Zhun Peng, 2011. "L'analyse dynamique des dépendances," Post-Print dumas-00651795, HAL.
- Leonidas Tsiaras, 2010. "Dynamic Models of Exchange Rate Dependence Using Option Prices and Historical Returns," CREATES Research Papers 2010-35, School of Economics and Management, University of Aarhus.
- Yongmin Chen & Michael H. Riordan, 2008. "Price-increasing competition," RAND Journal of Economics, RAND Corporation, vol. 39(4), pages 1042-1058.
- Dominique Guegan & Pierre-André Maugis, 2011. "An econometric Study for Vine Copulas," UniversitÃ© Paris1 PanthÃ©on-Sorbonne (Post-Print and Working Papers) halshs-00645799, HAL.
- Cathy Q. Ning & Loran Chollete, 2009.
"The Dependence Structure of Macroeconomic Variables in the US,"
005, Ryerson University, Department of Economics.
- Chollete, Loran & Ning, Cathy, 2009. "The Dependence Structure of Macroeconomic Variables in the US," UiS Working Papers in Economics and Finance 2009/31, University of Stavanger.
- Chollete, Loran & de la Pena , Victor & Lu, Ching-Chih, 2009. "International Diversification: An Extreme Value Approach," UiS Working Papers in Economics and Finance 2009/26, University of Stavanger.
- Peter Christoffersen & Hugues Langlois, 2011. "The Joint Dynamics of Equity Market Factors," CREATES Research Papers 2011-45, School of Economics and Management, University of Aarhus.
- Rosario Romera & Elisa M. Molanes, 2008. "Copulas in finance and insurance," Statistics and Econometrics Working Papers ws086321, Universidad Carlos III, Departamento de Estadística y Econometría.
- Chollete, Loran & Pena, Victor de la & Lu, Ching-Chih, 2009. "International Diversification: A Copula Approach," UiS Working Papers in Economics and Finance 2009/27, University of Stavanger.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Maxine Collett).
If references are entirely missing, you can add them using this form.