 Multivariate Copula Models at Work: Outperforming the desert island copula?Matthias J. Fischer, Christian Köck, Stephan Schlüter and Florian Weigert No 79/2007, Discussion Papers from Friedrich-Alexander University Erlangen-Nuremberg, Chair of Statistics and Econometrics Abstract: Since the pioneering work of Embrechts and co-authors in 1999, copula models enjoy 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 by far not 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 appeared in the recent literature prom sing flexible but still manageable dependence models. The aim of this work is to empirically investigate whether these models are really capable to outperform its benchmark, i.e. the Student-t copula (which is termed by Paul Embrechts as "desert island copula" on account of its excellent fit to financial returns) and, in addition, to compare the fit of these different copula classes among themselves. Keywords: KS-copula; Hierarchical Archimedian; Product copulas; Pair-copula decomposition (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:zbw:faucse:792007 Access Statistics for this paper More papers in Discussion Papers from Friedrich-Alexander University Erlangen-Nuremberg, Chair of Statistics and Econometrics Contact information at EDIRC. |
Is your work missing from RePEc? Here is how to contribute.
Questions or problems? Check the EconPapers FAQ or send mail to .
EconPapers is hosted by the
School of Business at Örebro University.