Copulas, Goodness-of-Fit Tests and Measurement of Stochastic Dependencies Before and During the Financial Crisis

Peter Grundke () and Simone Dieckmann ()
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Peter Grundke: University of Osnabrück
Simone Dieckmann: University of Osnabrück

A chapter in Operations Research Proceedings 2010, 2011, pp 105-110 from Springer

Abstract: Abstract By means of goodness-of-fit tests, it is analyzed for a multitude of portfolios consisting of different asset classes whether the stochastic dependence between the portfolios’ constituents can be adequately described by multivariate versions of some standard parametric copula functions. Furthermore, it is tested whether the stochastic dependence between the returns of different asset classes has changed during the recent financial crisis.

Keywords: Credit Default Swap; Tail Dependence; Asset Class; Copula Function; Gaussian Copula (search for similar items in EconPapers)
Date: 2011
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DOI: 10.1007/978-3-642-20009-0_17

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