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2008-06-19Buch DOI: 10.18452/4133
Modeling Dependencies in Finance using Copulae
dc.contributor.authorHärdle, Wolfgang Karl
dc.contributor.authorOkhrin, Ostap
dc.contributor.authorOkhrin, Yarema
dc.date.accessioned2017-06-15T23:43:49Z
dc.date.available2017-06-15T23:43:49Z
dc.date.created2008-07-02
dc.date.issued2008-06-19
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4785
dc.description.abstractIn this paper we provide a review of copula theory with applications to finance. We illustrate the idea on the bivariate framework and discuss the simple, elliptical and Archimedean classes of copulae. Since the cop- ulae model the dependency structure between random variables, next we explain the link between the copulae and common dependency measures, such as Kendall's tau and Spearman's rho. In the next section the copulae are generalized to the multivariate case. In this general setup we discuss and provide an intensive literature review of estimation and simulation techniques. Separate section is devoted to the goodness-of-fit tests. The importance of copulae in finance we illustrate on the example of asset allocation problems, Value-at-Risk and time series models. The paper is complemented with an extensive simulation study and an application to financial data.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectDistribution functionseng
dc.subjectDimension Reductioneng
dc.subjectRisk managementeng
dc.subjectStatistical modelseng
dc.subject.ddc330 Wirtschaft
dc.titleModeling Dependencies in Finance using Copulae
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10089716
dc.identifier.doihttp://dx.doi.org/10.18452/4133
local.edoc.container-titleSonderforschungsbereich 649: Ökonomisches Risiko
local.edoc.pages38
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2008
local.edoc.container-issue43
local.edoc.container-year2008
local.edoc.container-erstkatid2195055-6

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