Fitting bivariate cumulative returns with copulas

DOI10.1016/S0167-9473(02)00346-8zbMath1429.62471MaRDI QIDQ956837

Werner Hürlimann

Publication date: 26 November 2008

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

zbMATH Keywords

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

Mathematics Subject Classification ID

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

Related Items (17)

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

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