Robustness of Econometric Methods to Copula Misspecification and Heavy Tails

Rustam Ibragimov and Artem Prokhorov

Chapter 5 in Heavy Tails and Copulas:Topics in Dependence Modelling in Economics and Finance, 2017, pp 171-228 from World Scientific Publishing Co. Pte. Ltd.

Abstract: This chapter provides a survey of estimation methods for copula models with a focus on robustness of copula-based models to copula misspecification. We also consider selected aspects of robustness to heavy tails.

Keywords: Heavy-Tailed Distribution; Copulas; Tail Dependence; Majorization Theory; Financial Contagion; Crises (search for similar items in EconPapers)
Date: 2017
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