Pitfalls in modelling dependence structures: explorations with copulas

zbMATH Open1376.62119MaRDI QIDQ4593682FDOQ4593682

Authors: Pravin K. Trivedi, David M. Zimmer 

Publication date: 22 November 2017

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zbMATH Keywords

copulasstochastic dependenceasset pricestesting hypothesesmodelling approach

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Applications of statistics to economics (62P20) Measures of association (correlation, canonical correlation, etc.) (62H20)

Cited In (8)

• Extension of the Capital Asset Pricing Model to Non-normal Dependence Structures
• Book Reviews
• Dependence Modelling with Copulas. By H.Joe. Boca Raton, Florida CRC Press. 2015. 480 pages. £ 57.99 (hardback). ISBN 978‐1‐4665‐8322‐1.
• A copula-based approach to account for dependence in stress-strength models
• Testing the Gaussian copula hypothesis for financial assets dependences
• Crisis and risk dependencies
• What makes dependence modeling challenging? Pitfalls and ways to circumvent them
• Modeling Dependencies with Copulae

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