Analysis of multidimensional probability distributions with copula functions

Dean Fantazzini

Applied Econometrics, 2011, vol. 22, issue 2, 98-134

Abstract: Problems which are related to copula functions, their properties, selection methods for specific baseline data, evaluation, and possible applications are extremely sparingly discussed in the world literature, and are almost not discussed at all in the Russian literature. At the same time, we already had impressive examples of their applications in situations when the construction, statistical estimation and analysis of multidimensional probability distributions turn out to be an essential tool of applied research, and the use of the multivariate normal (Gaussian) distributions for these purposes does not reflect the specific features of the available data. There are grounds to argue that models which are based on copula functions will be in particular demand for applied econometric studies regarding problems of assessment, analysis and management of financial and insurance risks, as well as the returns of various financial instruments. The material proposed in this issue of the journal is, in fact, a fragment of the forthcoming textbook «Methods of econometrics. Advanced level» by S. A. Aivazian, D. Fantazzini

Keywords: copula; multivariate distribution; elliptical copulas; Archimedean copula; hierarchical copula (search for similar items in EconPapers)
JEL-codes: C49 C69 (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (10)

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Journal Article: Analysis of multidimensional probability distributions with copula functions. II (2011)
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