Fitting bivariate cumulative returns with copulas

DOI10.1016/S0167-9473(02)00346-8zbMath1429.62471MaRDI QIDQ956837

Werner Hürlimann

Publication date: 26 November 2008

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

zbMATH Keywords

copulacovariance estimationbivariate chi-square statisticdaily cumulative returnIFM methodnormal inverse gamma mixture

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Related Items (17)

Constructing copula functions with weighted geometric means ⋮ New Families of Copulas Based on Periodic Functions ⋮ An explicit version of the Chebyshev-Markov-Stieltjes inequalities and its applications ⋮ Moments of discounted aggregate claims with dependence based on Spearman copula ⋮ Comparison study between {MCMC}-based and weight-based Bayesian methods for identification of joint distribution ⋮ A new algorithm based on copulas for VaR valuation with empirical calculations ⋮ Insurance risk capital for the Sparre Andersen model with geometric Lévy stochastic returns ⋮ Estimating fibres' material parameter distributions from limited data with the help of Bayesian inference ⋮ EXTENSION OF THE COMPOUND POISSON MODEL VIA THE SPEARMAN COPULA ⋮ Estimating value at risk of portfolio by conditional copula-GARCH method ⋮ Ruin measures for a compound Poisson risk model with dependence based on the Spearman copula and the exponential claim sizes ⋮ Testing the bivariate distribution of daily equity returns using copulas. An application to the Spanish stock market ⋮ Statistical Modeling of Temporal Dependence in Financial Data via a Copula Function ⋮ Editorial: Advances in mixture models ⋮ A Compendium of Copulas ⋮ Option pricing with bivariate risk-neutral density via copula and heteroscedastic model: a Bayesian approach ⋮ Estimation methods for expected shortfall

Cites Work

• Bivariate extreme statistics. I
• On the simultaneous associativity of F(x,y) and x+y-F(x,y)
• The theory and applications of statistical inference functions
• Estimating the dimension of a model
• An introduction to copulas. Properties and applications
• Fitting bivariate loss distributions with copulas
• Processes of normal inverse Gaussian type
• Hutchinson -- Lai's conjecture for bivariate extreme value copulas.
• Maxima of normal random vectors: Between independence and complete dependence
• Hyperbolic distributions in finance
• A continuous general multivariate distribution and its properties
• One-parameter families of bivariate distributions with fixed marginals
• Uniform representations of bivariate distributions
• Order Statistics of Samples from Multivariate Distributions
• A model for association in bivariate life tables and its application in epidemiological studies of familial tendency in chronic disease incidence
• Infinite divisibility of the hyperbolic and generalized inverse Gaussian distributions
• Some Concepts of Dependence
• Understanding Relationships Using Copulas
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Fitting bivariate cumulative returns with copulas