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Copula-Based Models for Financial Time Series

Andrew Patton ()

OFRC Working Papers Series from Oxford Financial Research Centre

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 charaterise the (conditional) cross-sectional dependence between individual time series, and in univariate time series analysis, where they are used to characterise 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.

Pages: 24
Date: 2008
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-fmk
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