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An empirical analysis of multivariate copula models

[journal article]

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

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Please use the following Persistent Identifier (PID) to cite this document: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.
Classification Basic Research, General Concepts and History of Economics; Economic Statistics, Econometrics, Business Informatics
Method theory application
Free Keywords KS-copula; Hierarchical Archimedian; Product copulas; Pair-copula decomposition
Document language English
Publication Year 2009
Page/Pages p. 839-854
Journal Quantitative Finance, 9 (2009) 7
DOI http://dx.doi.org/10.1080/14697680802595650
Status Postprint; peer reviewed
Licence PEER Licence Agreement (applicable only to documents from PEER project)