Exploring the Copula Approach for the Analysis of Financial Durations

Giovanni Luca (), Giorgia Rivieccio () and Paola Zuccolotto ()
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Giovanni Luca: University of Naples
Giorgia Rivieccio: University of Naples
Paola Zuccolotto: University of Brescia

A chapter in Mathematical and Statistical Methods in Insurance and Finance, 2008, pp 99-106 from Springer

Abstract: Abstract The object of the paper is to compare of two approaches for the analysis of financial durations. The first is the parametric approach (Autoregressive Conditional Duration model) implemented using the exponential, the Weibull, the Burr and the Pareto density functions. The second makes use of bivariate and trivariate copula functions.

Keywords: Financial duration; Autoregressive conditional duration; Copula function (search for similar items in EconPapers)
Date: 2008
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-88-470-0704-8_13

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DOI: 10.1007/978-88-470-0704-8_13

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