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Copulas for finance

Author

Listed:
  • Bouye, Eric
  • Durlleman, Valdo
  • Nikeghbali, Ashkan
  • Riboulet, Gaël
  • Roncalli, Thierry

Abstract

Copulas are a general tool to construct multivariate distributions and to investigate dependence structure between random variables. However, the concept of copula is not popular in Finance. In this paper, we show that copulas can be extensively used to solve many financial problems.

Suggested Citation

  • Bouye, Eric & Durlleman, Valdo & Nikeghbali, Ashkan & Riboulet, Gaël & Roncalli, Thierry, 2000. "Copulas for finance," MPRA Paper 37359, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:37359
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    References listed on IDEAS

    as
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    Keywords

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    JEL classification:

    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions
    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics

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