Pitfalls in modelling dependence structures: explorations with copulas

MaRDI QIDQ4593682zbMATHFDO

Authors Pravin K. Trivedi, David M. Zimmer

Publication date 22 November 2017

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)

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Cited in

(8)

• Testing the Gaussian copula hypothesis for financial assets dependences
• Extension of the Capital Asset Pricing Model to Non-normal Dependence Structures
• What makes dependence modeling challenging? Pitfalls and ways to circumvent them
• Crisis and risk dependencies
• Modeling Dependencies with Copulae
• A copula-based approach to account for dependence in stress-strength models
• 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.

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