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ChapterThe estimation of copulas : theory and practice

Arthur Charpentier A2007

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Chaptergreen2007

The estimation of copulas : theory and practice

Arthur Charpentier A · Jean‐David Fermanian · Olivier Scaillet B

118 citations·0/0 files stored·Archive ouverte UNIGE (University of Geneva)

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Statistical Distribution Estimation and Applications

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theory and practice.

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References

1995Is the correlation in international equity returns constant: 1960–1990?2000On Default Correlation 1995A Semiparametric Estimation Procedure of Dependence Parameters in Multivariate Families of Distributions 2002Monte Carlo methods in finance 2005Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification 2004Weak convergence of empirical copula processes 2003Nonparametric estimation of copulas for time series 2001Modelling Time-Varying Exchange Rate Dependence Using the Conditional Copula

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2017Probit transformation for nonparametric kernel estimation of the copula density 2008Estimating copula densities through wavelets 2014Long memory dynamics for multivariate dependence under heavy tails 2017Nonparametric estimation of simplified vine copula models: comparison of methods 2017Hedging downside risk of oil refineries: A vine copula approach 2017

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2004Some Statistical Pitfalls in Copula Modeling for Financial Applicationspreprint · 6 shared references 2014Copulas in Econometricsreview · 5 shared references 2010Copula Estimationchapter · 5 shared references 2021Copulae: An overview and recent developmentsarticle · 5 shared references 2013Copula Methods for Forecasting Multivariate Time Serieschapter · 4 shared references 2012A Survey on Time-Varying Copulas: Specification, Simulations, and Applicationarticle · 4 shared references

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Year2007

Typechapter

Published2007-01-01

VenueArchive ouverte UNIGE (University of Geneva)

Languageen

Citations118

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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openalex_workW1504040945

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Nonparametric estimation of simplified vine copula models: comparison of methods

2018kdecopula: An R Package for the Kernel Estimation of Bivariate Copula Densities

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