De copulis non est disputandum |
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Authors: | Wolfgang Karl Härdle Ostap Okhrin |
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Institution: | (1) Department of Biostatistics, Harvard School of Public Health, Boston, MA 02115, USA;(2) Massachusetts General Hospital Biostatistics Center, Boston, MA 02114, USA; |
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Abstract: | Normal distribution of residuals is a traditional assumption in multivariate models. It is, however, not very often consistent
with real data. Copulae allow for an extension of dependency models to nonellipticity and for separation of margins from the
dependency. This paper provides a survey of copulae where different copula classes, estimation and simulation techniques and
goodness-of-fit tests are considered. In the empirical section we apply different copulae to the static and dynamic Value-at-Risk
of portfolio returns and Profit-and-Loss function. |
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Keywords: | |
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