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Copulas: an Open Field for Risk Management


  • Thierry Roncalli
  • Gael Riboulet
  • Ashkan Nikeghbali
  • Vado Durrleman
  • Erick Bouy?


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  • Thierry Roncalli & Gael Riboulet & Ashkan Nikeghbali & Vado Durrleman & Erick Bouy?, 2001. "Copulas: an Open Field for Risk Management," Working Papers wp01-01, Warwick Business School, Finance Group.
  • Handle: RePEc:wbs:wpaper:wp01-01

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    References listed on IDEAS

    1. Fama, Eugene F, 1970. "Multiperiod Consumption-Investment Decisions," American Economic Review, American Economic Association, vol. 60(1), pages 163-174, March.
    2. Fama, Eugene F & MacBeth, James D, 1973. "Risk, Return, and Equilibrium: Empirical Tests," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 607-636, May-June.
    3. Kraus, Alan & Litzenberger, Robert H, 1976. "Skewness Preference and the Valuation of Risk Assets," Journal of Finance, American Finance Association, vol. 31(4), pages 1085-1100, September.
    4. Roll, Richard, 1977. "A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory," Journal of Financial Economics, Elsevier, vol. 4(2), pages 129-176, March.
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    Cited by:

    1. Heemeijer, Peter & Hommes, Cars & Sonnemans, Joep & Tuinstra, Jan, 2009. "Price stability and volatility in markets with positive and negative expectations feedback: An experimental investigation," Journal of Economic Dynamics and Control, Elsevier, vol. 33(5), pages 1052-1072, May.
    2. Songjiao Chen & William W. Wilson & Ryan Larsen & Bruce Dahl, 2015. "Investing in Agriculture as an Asset Class," Agribusiness, John Wiley & Sons, Ltd., vol. 31(3), pages 353-371, June.
    3. Carluccio Bianchi & Alessandro Carta & Dean Fantazzini & Maria Elena De Giuli & Mario Maggi, 2010. "A copula-VAR-X approach for industrial production modelling and forecasting," Applied Economics, Taylor & Francis Journals, vol. 42(25), pages 3267-3277.
    4. Liu, Ruipeng & Di Matteo, T. & Lux, Thomas, 2007. "True and apparent scaling: The proximity of the Markov-switching multifractal model to long-range dependence," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 383(1), pages 35-42.
    5. Thomas Lux, 2007. "Collective Opinion Formation in a Business Climate Survey," Working Papers wp07-10, Warwick Business School, Finance Group.
    6. Reiner Franke, 2008. "A Short Note on the Problematic Concept of Excess Demand in Asset Pricing Models with Mean-Variance Optimization," Working Papers wp08-02, Warwick Business School, Finance Group.
    7. Steve Satchell & Soosung Hwang, 2001. "The Asset Allocation Decision in a Loss Aversion World," Working Papers wp01-14, Warwick Business School, Finance Group.
    8. Li, Meng & Yang, Liang, 2013. "Modeling the volatility of futures return in rubber and oil—A Copula-based GARCH model approach," Economic Modelling, Elsevier, vol. 35(C), pages 576-581.
    9. Giacomo Raffaelli & Matteo Marsili, 2006. "Risk bubbles and market instability," Working Papers wp06-22, Warwick Business School, Finance Group.
    10. Klaus Abberger, 2005. "A simple graphical method to explore tail-dependence in stock-return pairs," Applied Financial Economics, Taylor & Francis Journals, vol. 15(1), pages 43-51.
    11. Manner Hans, 2007. "Estimation and Model Selection of Copulas with an Application to Exchange Rates," Research Memorandum 056, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).

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