Which Copula is the Right One?
19 Pages Posted: 26 Nov 2007 Last revised: 6 Apr 2009
Date Written: August 25, 2000
In this paper, we give a few methods for the choice of copulas in financial modelling.
Keywords: Maximum likelihood method, inference for margins, CML method, point estimator, non parametric estimation, Deheuvels copula, copula approximation
JEL Classification: G00
Suggested Citation: Suggested Citation