Copulas for finance

By Eric Bouyé, Valdo Durlleman, Ashkan Nikeghbali, Gaël Riboulet, Thierry Roncalli. 2000

495 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/f703aadce1322615fb424e19138a5ea8f8253f03

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Citations in the corpus

Nonparametric Estimation of Copulas for Time Series (2002, unknown): “0 C(u1, u2)du1du2 − 3, (4) γY1,Y2 = 4 ∫ 1”
Probabilistic prediction of hydroclimatic variables with nonparametric quantification of uncertainty (2008, methodology): “The theory was successfully applied in many fields of application [Bouyé et al., 2000;Bagdonavicius et al., 1999; Frees and Valdez, 1998].”
Dependence patterns across financial markets: a mixed copula approach (2006, background): “Bouye et al. (2000), Embrechts et al. (2002) and Embrechts et al. (2003) provide some general guide to applying copulas in finance, especially in risk management.”
Design hyetograph analysis with 3-copula function (2006, methodology): “(1995) and called the canonical maximum likelihood (CML) method (Bouyé et al., 2000), can be adopted.”
Using Conditional Copula to Estimate Value at Risk (2004, methodology): “The papers of Bouyé et al. (2000), Embrechts, McNeil and Straumann (2002) and Embrechts, Lindskog and McNeil (2003) provided general examples of applications of copulae in finance.”
Empirical properties of asset returns: stylized facts and statistical issues (2001, background): “Some recent theoretical work has been done in this direction using copulas [108] and multivariate extreme value theory [64, 112, 113], but a lot remains to be done on empirical grounds.”
MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE a (2006, background): “5 See Frees et al. (1996), Bouyé et al. (2000a, 2000b), Cherubini and Luciano (2001, 2002), Costinot et al. (2000), Li (2000), Fermanian and Scaillet (2003), Embrechts et al. (2001), Granger et al. (forthcoming), Frey and McNeil (2001), Rockinger and Jondeau (2001), Sancetta and Satchell (2001),…”
Vector Multiplicative Error Models: Representation and Inference (2006, background): “Many copula functions have been proposed in theoretical and applied works (see, among others, Embrechts et al. (2001) and Bouyé et al. (2000)).”
Copulas: A Review and Recent Developments (2006, methodology): “For a survey of financial applications see, for example, Bouyé et al.[14] and Embretchs et al.[41].”
Nonparametric estimation of the lower tail dependence λ L in bivariate copulas (2005, unknown): “The copula C of X, Y can be estimated in the following way at (i/n, j/n) where i; j ¼ 1; . . . ; n (see for example Bouyé et al., 2000) bCn i n ; j n ¼ 1 n Xn l¼1 1(Xl X(i);Yl Y(j)) and bCn i n ; j n ¼ 0 if i ¼ 0 or j ¼ 0.”
Simple Tests for Models of Dependence between Multiple Financial Time Series, with Applications to U.S. Equity Returns and Exchange Rates (2004, unknown): “See Frees and Valdez (1998), Embrechts et al. (2002) and Bouyé et al. (2000) for reviews of copula methods in finance and insurance.1 The main reason for the increasing popularity and success of copulas in modeling multivariate financial time series is its flexibility in separately modeling the…”