SOME STATISTICAL PITFALLS IN COPULA MODELING FOR FINANCIAL APPLICATIONS

Jean-David Fermanian () and Olivier Scaillet
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Jean-David Fermanian: CDC Ixis Capital Markets

FAME Research Paper Series from International Center for Financial Asset Management and Engineering

Abstract: In this paper we discuss some statistical pitfalls that may occur in modeling cross-dependences with copulas in financial applications. In particular we focus on issues arising in the estimation and the empirical choice of copulas as well as in the design of time-dependent copulas.

Keywords: Copulas; Dependence Measures; Risk Management (search for similar items in EconPapers)
JEL-codes: C12 C13 C14 C52 (search for similar items in EconPapers)
Date: 2004-03
New Economics Papers: this item is included in nep-ecm and nep-fin
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Citations: View citations in EconPapers (12)

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Persistent link: https://EconPapers.repec.org/RePEc:fam:rpseri:rp108

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