Copula–Based Models for Financial Time Series

Andrew J. Patton ()
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Andrew J. Patton: University of Oxford, Department of Economics and Oxford-Man Institute of Quantitative Finance

Chapter 34 in Handbook of Financial Time Series, 2009, pp 767-785 from Springer

Abstract: Abstract This paper presents an overview of the literature on applications of copulas in the modelling of financial time series. Copulas have been used both in multivariate time series analysis, where they are used to characterize the (conditional) cross-sectional dependence between individual time series, and in univariate time series analysis, where they are used to characterize the dependence between a sequence of observations of a scalar time series process. The paper includes a broad, brief, review of the many applications of copulas in finance and economics.

Keywords: Marginal Distribution; Asset Return; Tail Dependence; Multivariate Time Series; Copula Model (search for similar items in EconPapers)
Date: 2009
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DOI: 10.1007/978-3-540-71297-8_34

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