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Exploring the Copula Approach for the Analysis of Financial Durations

In: Mathematical and Statistical Methods in Insurance and Finance

Author

Listed:
  • Giovanni Luca

    (University of Naples)

  • Giorgia Rivieccio

    (University of Naples)

  • Paola Zuccolotto

    (University of Brescia)

Abstract

The object of the paper is to compare of two approaches for the analysis of financial durations. The first is the parametric approach (Autoregressive Conditional Duration model) implemented using the exponential, the Weibull, the Burr and the Pareto density functions. The second makes use of bivariate and trivariate copula functions.

Suggested Citation

  • Giovanni Luca & Giorgia Rivieccio & Paola Zuccolotto, 2008. "Exploring the Copula Approach for the Analysis of Financial Durations," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods in Insurance and Finance, pages 99-106, Springer.
    • Handle: RePEc:spr:sprchp:978-88-470-0704-8_13
    DOI: 10.1007/978-88-470-0704-8_13
    as

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