Open AccessSome Statistical Pitfalls in Copula Modeling for Financial Applications
Author(s) -
JeanDavid Fermanian,
Olivier Scaillet
Publication year - 2004
Publication title -
ssrn electronic journal
Language(s) - English
Resource type - Journals
ISSN - 1556-5068
DOI - 10.2139/ssrn.558981
Subject(s) - copula (linguistics) , econometrics , computer science , economics
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.
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