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Some Statistical Pitfalls in Copula Modeling for Financial Applications · Study

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PreprintSome Statistical Pitfalls in Copula Modeling for Financial Applications

Jean‐David Fermanian2004

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Preprintgreen2004

Some Statistical Pitfalls in Copula Modeling for Financial Applications

Jean‐David Fermanian · Olivier Scaillet B

52 citations·0/0 files stored·SSRN Electronic Journal

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Risk and Portfolio Optimization

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References

2002Correlation and Dependence in Risk Management: Properties and Pitfalls 1998Understanding Relationships Using Copulas 2000On Default Correlation 1993Statistical Inference Procedures for Bivariate Archimedean Copulas 1995A Semiparametric Estimation Procedure of Dependence Parameters in Multivariate Families of Distributions 2003Modelling Dependence with Copulas and Applications to Risk Management 1996Testing Continuous-Time Models of the Spot Interest Rate 2005Estimation of copula-based semiparametric time series models

Cited by

2011Semiparametric estimation in models of first-price, sealed-bid auctions with affiliation 2005Asymmetric extreme interdependence in emerging equity markets 2013Assessing dependence between financial market indexes using conditional time-varying copulas: applications to Value at Risk (VaR)2006Copula-Based Top-Down Approaches in Financial Risk Aggregation

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2006Copulas: A Review and Recent Developmentsarticle · 11 shared references 2004Simple Tests for Models of Dependence between Multiple Financial Time Series, with Applications to U.S. Equity Returns and Exchange Ratespreprint · 10 shared references 2021Copulae: An overview and recent developmentsarticle · 9 shared references 2014Copulas in Econometricsreview · 8 shared references 2010Copula parameter estimation by maximum-likelihood and minimum-distance estimators: a simulation studyarticle · 8 shared references 2008Goodness-of-fit tests for parametric families of Archimedean copulasarticle · 8 shared references

Details

Year2004

Typepreprint

Published2004-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations52

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.2139/ssrn.558981

openalex_workW1512958090

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