Which Copula is the Right One?

19 Pages Posted: 26 Nov 2007 Last revised: 6 Apr 2009

See all articles by Valdo Durrleman

Valdo Durrleman

Ecole Polytechnique - Centre de Mathematiques Appliquees - CNRS

Ashkan Nikeghbali

affiliation not provided to SSRN

Thierry Roncalli

Amundi Asset Management; University of Evry

Date Written: August 25, 2000

Abstract

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

Durrleman, Valdo and Nikeghbali, Ashkan and Roncalli, Thierry, Which Copula is the Right One? (August 25, 2000). Available at SSRN: https://ssrn.com/abstract=1032545 or http://dx.doi.org/10.2139/ssrn.1032545

Valdo Durrleman

Ecole Polytechnique - Centre de Mathematiques Appliquees - CNRS ( email )

Palaiseau, 91128
France

Ashkan Nikeghbali

affiliation not provided to SSRN ( email )

No Address Available

Thierry Roncalli (Contact Author)

Amundi Asset Management ( email )

90 Boulevard Pasteur
Paris, 75015
France

University of Evry ( email )

Boulevard Francois Mitterrand
F-91025 Evry Cedex
France

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
526
Abstract Views
1,878
rank
56,923
PlumX Metrics