Copula-Based Models for Financial Time Series
This 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.
|Date of creation:||2008|
|Date of revision:|
|Contact details of provider:|| Web page: http://www.finance.ox.ac.ukEmail: |
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:sbs:wpsefe:2008fe21. See general information about how to correct material in RePEc.
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.