Copulae And Multivariate Probability Distributions In Finance by Alexandra DiasCopulae And Multivariate Probability Distributions In Finance by Alexandra Dias

Copulae And Multivariate Probability Distributions In Finance

EditorAlexandra Dias, Mark Salmon, Chris Adcock

Hardcover | March 14, 2013

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Portfolio theory and much of asset pricing, as well as many empirical applications, depend on the use of multivariate probability distributions to describe asset returns. Traditionally, this has meant the multivariate normal (or Gaussian) distribution. More recently, theoretical and empirical work in financial economics has employed the multivariate Student (and other) distributions which are members of the elliptically symmetric class. There is also a growing body of work which is based on skew-elliptical distributions. These probability models all exhibit the property that the marginal distributions differ only by location and scale parameters or are restrictive in other respects. Very often, such models are not supported by the empirical evidence that the marginal distributions of asset returns can differ markedly. Copula theory is a branch of statistics which provides powerful methods to overcome these shortcomings. This book provides a synthesis of the latest research in the area of copulae as applied to finance and related subjects such as insurance. Multivariate non-Gaussian dependence is a fact of life for many problems in financial econometrics. This book describes the state of the art in tools required to deal with these observed features of financial data.

This book was originally published as a special issue of theEuropean Journal of Finance.

Alexandra Diasis Lecturer in Finance at the University of Leicester, UK. She has previously been Lecturer at Warwick Business School, UK, a Credit Analyst at Credit Suisse (Zurich) and a Research Associate at RiskLab, ETH-Zurich. She holds a PhD in Mathematics, an MSc in Actuarial Science and Financial Risk Management and a 'Licenciatu...
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Title:Copulae And Multivariate Probability Distributions In FinanceFormat:HardcoverDimensions:208 pages, 9.69 × 7.44 × 0.98 inPublished:March 14, 2013Publisher:Taylor and FrancisLanguage:English

The following ISBNs are associated with this title:

ISBN - 10:0415814855

ISBN - 13:9780415814850

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Table of Contents

PrefaceChris Adcock, Alexandra Dias and Mark Salmon 1. The Advent of Copulas in FinanceChristian Genest, Michel Gendron and Micha'Bourdeau-Brien 2. Testing for structural changes in exchange rates' dependence beyond linear correlationAlexandra Dias and Paul Embrechts 3. Models for construction of multivariate dependence ' a comparison studyKjersti Aas and Daniel Berg 4. Dependency without copulas or ellipticityWilliam T. Shaw and Asad Munir 5. Copula goodness-of-fit testing: an overview and power comparisonDaniel Berg 6. Asymmetric dependence patterns in financial time seriesManuel Ammann and Stephan S'ss 7. Dynamic copula quantile regressions and tail area dynamic dependence in Forex marketsEric Bouy'nd Mark Salmon 8. Risk and return of reinsurance contracts under copula modelsMartin Eling and Denis Toplek 9. Pricing bivariate option under GARCH-GH model with dynamic copula: application for Chinese marketDominique Gu'n and Jing Zang