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Nonparametric Estimation of Copulas for Time Series · Study

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PreprintNonparametric Estimation of Copulas for Time Series

Olivier Scaillet B2003

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Preprintgreen2003

Nonparametric Estimation of Copulas for Time Series

Olivier Scaillet B · Jean‐David Fermanian

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

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Financial Risk and Volatility Modeling Complex Systems and Time Series Analysis Probability and Risk Models

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References

1999An Introduction to Copulas 2002Correlation and Dependence in Risk Management: Properties and Pitfalls 1998Understanding Relationships Using Copulas 1993Statistical Inference Procedures for Bivariate Archimedean Copulas 2000Sensitivity analysis of Values at Risk 2004Weak convergence of empirical copula processes 1999Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets 1997A nonparametric estimation procedure for bivariate extreme value copulas

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2004Some Statistical Pitfalls in Copula Modeling for Financial Applications 2003Nonparametric Pricing of Multivariate Contingent Claims 2020Bayes theorem–based and copula-based estimation for failure probability function

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2003Nonparametric estimation of copulas for time seriesarticle · 6 shared references 2006Copulas: A Review and Recent Developmentsarticle · 6 shared references 2004Some Statistical Pitfalls in Copula Modeling for Financial Applicationspreprint · 6 shared references 2005Asymmetric extreme interdependence in emerging equity marketsarticle · 6 shared references 2007Robust Fits for Copula Modelsarticle · 6 shared references 2005Actuarial Theory for Dependent Risks: Measures, Orders and Modelsarticle · 5 shared references

Details

Year2003

Typepreprint

Published2003-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations56

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.2139/ssrn.372142

openalex_workW1609595740

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