A copula test space model: How to avoid the wrong copula choice
We introduce and discuss the test space problem as a part of the whole copula fitting process. In particular, we explain how an efficient copula test space can be constructed by taking into account information about the existing dependence. Although our model is developed in a bivariate environment it can be used for higher dimensional copula fitting applications. This is shown on the 3 dimensional dependence structure of an illustrative porfolio containing the S&P 500 Composite Index, the JP Morgan Government Bond Index and the NAREIT All index.
|Date of creation:||Jun 2007|
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- Fathi Abid & Nader Naifar, 2005. "The Impact Of Stock Returns Volatility On Credit Default Swap Rates: A Copula Study," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 8(08), pages 1135-1155.
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CEPR Discussion Papers
5652, C.E.P.R. Discussion Papers.
- Bouye, Eric & Durlleman, Valdo & Nikeghbali, Ashkan & Riboulet, Gaël & Roncalli, Thierry, 2000. "Copulas for finance," MPRA Paper 37359, University Library of Munich, Germany.
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