An empirical analysis of multivariate copula models

Journal article | Zeitschriftenartikel

Since the pioneering work of Embrechts and co-authors in 1999, copula models have enjoyed 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 far from clear how to construct copulas which sufficiently capture the characteristics of financial returns. For this reason, elliptical copulas (i.e. Gaussian and Student-t copula) still dominate both empirical and practical applications. On the other hand, several attractive construction schemes have 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 of outperforming its benchmark, i.e. the Student-t copula and, in addition, to compare the fit of these different copula classes among themselves.

Angaben zum Objekt

• Umfang: Seite(n): 839-854
• Sprache: Englisch
• Anmerkungen: Status: Postprint; begutachtet (peer reviewed)

Verweise und Beziehungen

• Erschienen in: Quantitative Finance, 9(7)

Klassifikation und Themen

• Thema: Wirtschaft ; Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik ; Allgemeines, spezielle Theorien und Schulen, Methoden, Entwicklung und Geschichte der Wirtschaftswissenschaften ; Theorieanwendung

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Fischer, Matthias ; Köck, Christian ; Schlüter, Stephan ; Weigert, Florian
• Ereignis: Veröffentlichung
• (wo): Vereinigtes Königreich
• (wann): 2009

Weitere Informationen

• DOI: https://doi.org/10.1080/14697680802595650
• URN: urn:nbn:de:0168-ssoar-221383
• Rechteinformation: GESIS - Leibniz-Institut für Sozialwissenschaften. Bibliothek Köln
• Letzte Aktualisierung: 21.06.2024, 16:27 MESZ