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Diskussionspapiere des Lehrstuhls für Statistik und Ökonometrie, FAU Erlangen-Nürnberg >

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dc.contributor.authorFischer, Matthias J.en_US
dc.contributor.authorKöck, Christianen_US
dc.contributor.authorSchlüter, Stephanen_US
dc.contributor.authorWeigert, Florianen_US
dc.description.abstractSince the pioneering work of Embrechts and co-authors in 1999, copula models enjoy 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 by far not 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 appeared in the recent literature prom sing flexible but still manageable dependence models. The aim of this work is to empirically investigate whether these models are really capable to outperform its benchmark, i.e. the Student-t copula (which is termed by Paul Embrechts as "desert island copula" on account of its excellent fit to financial returns) and, in addition, to compare the fit of these different copula classes among themselves.en_US
dc.publisherUniversität Erlangen-Nürnberg, Lehrstuhl für Statistik und empirische Wirtschaftsforschung Nürnbergen_US
dc.relation.ispartofseriesDiskussionspapiere // Friedrich-Alexander-Universität Erlangen-Nürnberg, Lehrstuhl für Statistik und Ökonometrie 79/2007en_US
dc.subject.keywordHierarchical Archimedianen_US
dc.subject.keywordProduct copulasen_US
dc.subject.keywordPair-copula decompositionen_US
dc.subject.stwKopula (Mathematik)en_US
dc.subject.stwMultivariate Analyseen_US
dc.titleMultivariate Copula Models at Work: Outperforming the desert island copula?en_US
dc.typeWorking Paperen_US
Appears in Collections:Diskussionspapiere des Lehrstuhls für Statistik und Ökonometrie, FAU Erlangen-Nürnberg

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