Fitting bivariate cumulative returns with copulas

DOI10.1016/S0167-9473(02)00346-8zbMATH Open1429.62471MaRDI QIDQ956837FDOQ956837

Authors: Werner Hürlimann 

Publication date: 26 November 2008

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

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zbMATH Keywords

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

Mathematics Subject Classification ID

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

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Cited In (20)

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

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