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An Empirical Analysis of Multivariate Copula Models

Journal
Quantitative Finance
ISSN
1469-7688
Type
journal article
Date Issued
2009
Author(s)
Fischer, Matthias
Köck, Christian
Schlüter, Stephan
Weigert, Florian  
Abstract (De)
Since the pioneering work of Embrechts and co-authors in 1999, copula models enjoy steadily increasing popularity in finance. Whereas copulas are well-studied in the bivariate case, the higher-dimensional case still offers several open issues and it is by far not clear how to construct copulas which sufficiently capture
the characteristics of financial returns. For this reason, elliptical copulas (i.e. the Gaussian and Student-t copula) still dominate both empirical and practical applications. On the other hand, several attractive construction schemes appeared in the recent literature promising flexible but still manageable dependence models. The aim of this work is to empirically investigate whether these models are really capable to outperform its benchmark, i.e. the Student-t copula(which is termed by Paul Embrechts as ”desert island copula” on account of its excellent fit to financial returns) and, in addition, to compare the fit of these different copula classes among themselves.
Language
English
HSG Classification
contribution to scientific community
Publisher
Routledge
Volume
9/7
Start page
839
End page
854
URL
https://www.alexandria.unisg.ch/handle/20.500.14171/76843
Subject(s)

business studies

finance

Division(s)

s/bf - Swiss Institut...

SoF - School of Finan...

Eprints ID
250154
File(s)
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Thumbnail Image

open.access

Name

Multivariate Copula Models.pdf

Size

426.23 KB

Format

Adobe PDF

Checksum (MD5)

92f6f3c7f240d440c56c5d4bd445d157

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