Copulas: Tales and facts

By Thomas Mikosch. 2006

230 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/79d895812518fcf6f3799a4e9e4c07ad6e3a8f86

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Citations in the corpus

Copulas: A Personal View (2009, unknown): “And, as a final note: Thomas Mikosch compared the copula craze with Hans Christian Andersen's fairy tale " The Emperor's new clothes " where the child says " But he hasn't got anything on!”
Operational Risk Quantification Using Extreme Value Theory and Copulas: From Theory to Practice (2009, unknown): “Following Moscadelli (2004), a severity VaR performance analysis is performed to compare the different levels of accuracy of the GPD versus the lognormal distribution in representing the highest percentiles of the data.”
Assessing the hydrodynamic boundary conditions for risk analyses in coastal areas: a multivariate statistical approach based on Copula functions (2012, background): “Mikosch (2006) reports that a Google search for the word “Copula” resulted in 10 000 responses in 2003, while today – in July 2011 – the same search leads to more than 2.6 million responses.”
Goodness-of-fit tests for copulas: A review and a power study (2006, background): “Given their relative simplicity and success, and notwithstanding their detractors (see notably Mikosch (2006) and the ensuing discussion), copulas are increasingly used, particularly in actuarial and financial practice.”
The Pareto Copula, Aggregation of Risks and the Emperor's Socks (2008, background): “For the skeptics who believe the Emperor wears no clothes (Mikosch (2006)), perhaps use of the Pareto copula convinces some of them that the Emperor at least wears socks.”
Modeling Dependent Risks with Multivariate Erlang Mixtures (2009, unknown): “See Mikosch (2006) for some criticisms on the copula methodology.”
Statistics and Quantitative Risk Management for Banking and Insurance (2014, background): “The title of Lipton and Rennie (2007) is telling in this context; see also the discussions initiated by Mikosch (2006).”
Multivariate non-normally distributed random variables in climate research - introduction to the copula approach (2008, methodology): “Thelimitations of the copula approach are given in an extensive and interesting discussion, initiated by Mikosch (2006a).”
Power outages and firm performance in Sub-Saharan Africa (2018, background): “20 For a general statistical treatment see for example Mikosch (2006) or Fredricks and Nelsen (2007), while for a hydrology specific treatment see Genest and Favre (2007) and Schölzel and Friedrichs (2008).”
Multivariate extremes and the aggregation of dependent risks: examples and counter-examples (2009, unknown): “A brief and very readable introduction to the field is found in Mikosch (2004).”
Copula Theory: An Introduction (2010, background): “See, for example, the very interesting discussion related to the paper by Mikosch [139, 140] (see also [55, 84, 92, 104, 125, 160, 188]).”
Extreme value copulas and max-stable processes (2013, background): “Although these two frameworks share some connections, only a few authors from the extreme value community adopt the copula framework for multivariate extremes [2, 9, 16] and the use of copulas has been criticized [22].”
Statistical Modelling of Spatial Extremes (2012, background): “One might argue, with Mikosch (2006), that the transformation to uniform margins is mathematically trivial, obscures important features of the data that are visible on their original scale and makes stochastic modelling awkward, and hence is rarely interesting for applications.”
Tail dependence functions and vine copulas (2010, background): “, Xd) is usually assumed to ensure the existence of such limits [15,16]; this comment applies as well to limits that appear later.”
Copula-Based Models for Financial Time Series (2009, background): “For a lively discussion of the value of copulas in statistical modelling of dependence, see Mikosch (2006) and the associated discussion (in particular that of Embrechts, Joe, and Genest and Rémillard) and rejoinder.”
A new rainfall model based on the Neyman‐Scott process using cubic copulas (2008, methodology): “There is no consensus over the view of copulas as being the optimal solution to model dependencies, as illustrated by the recent and heated discussion initiated by Mikosch [2006] and followed by numerous authors [see, e.g., Genest and Re´millard, 2006; Joe, 2006; Embrechts, 2006].”