Which Copula is the Right One?
Author(s) -
Valdo Durrleman,
Ashkan Nikeghbali,
Thierry Roncalli
Publication year - 2000
Publication title -
ssrn electronic journal
Language(s) - English
Resource type - Journals
ISSN - 1556-5068
DOI - 10.2139/ssrn.1032545
Subject(s) - copula (linguistics) , mathematics , econometrics , economics
In this paper, we give a few methods for the choice of copulas in financial modelling.
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