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An empirical analysis of multivariate copula models

[Zeitschriftenartikel]

Fischer, Matthias; Köck, Christian; Schlüter, Stephan; Weigert, Florian

Zitationshinweis

Bitte beziehen Sie sich beim Zitieren dieses Dokumentes immer auf folgenden Persistent Identifier (PID):http://nbn-resolving.de/urn:nbn:de:0168-ssoar-221383

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Abstract Since the pioneering work of Embrechts and co-authors in 1999, copula models have enjoyed steadily increasing popularity in finance. Whereas copulas are well-studied in the bivariate case, the higher-dimensional case still offers several open issues and it is far from clear how to construct copulas which sufficiently capture the characteristics of financial returns. For this reason, elliptical copulas (i.e. Gaussian and Student-t copula) still dominate both empirical and practical applications. On the other hand, several attractive construction schemes have appeared in the recent literature promising flexible but still manageable dependence models. The aim of this work is to empirically investigate whether these models are really capable of outperforming its benchmark, i.e. the Student-t copula and, in addition, to compare the fit of these different copula classes among themselves.
Klassifikation Allgemeines, spezielle Theorien und "Schulen", Methoden, Entwicklung und Geschichte der Wirtschaftswissenschaften; Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik
Methode Theorieanwendung
Freie Schlagwörter KS-copula; Hierarchical Archimedian; Product copulas; Pair-copula decomposition
Sprache Dokument Englisch
Publikationsjahr 2009
Seitenangabe S. 839-854
Zeitschriftentitel Quantitative Finance, 9 (2009) 7
DOI http://dx.doi.org/10.1080/14697680802595650
Status Postprint; begutachtet (peer reviewed)
Lizenz PEER Licence Agreement (applicable only to documents from PEER project)
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