Copulae and Multivariate Probability Distributions in Finance

Business & Finance, Economics
Cover of the book Copulae and Multivariate Probability Distributions in Finance by , Taylor and Francis
View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart
Author: ISBN: 9781317976905
Publisher: Taylor and Francis Publication: August 21, 2013
Imprint: Routledge Language: English
Author:
ISBN: 9781317976905
Publisher: Taylor and Francis
Publication: August 21, 2013
Imprint: Routledge
Language: English

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 the European Journal of Finance.

View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart

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 the European Journal of Finance.

More books from Taylor and Francis

Cover of the book Workplace Learning by
Cover of the book The Forum on China- Africa Cooperation (FOCAC) by
Cover of the book Human Rights-Based Change by
Cover of the book Advances in Social Theory and Methodology (RLE Social Theory) by
Cover of the book Beginning Design Technology by
Cover of the book Public Interest Rules of International Law by
Cover of the book How to Measure Customer Satisfaction by
Cover of the book Teachers and Texts by
Cover of the book The Political Philosophies of Antonio Gramsci and B. R. Ambedkar by
Cover of the book Beyond the Energy–Water–Food Nexus by
Cover of the book Deleuze, Marx and Politics by
Cover of the book The Thirty Years' War by
Cover of the book Symbol Use and Symbolic Representation by
Cover of the book Collectivist Economics by
Cover of the book Management and International Business Issues in Jordan by
We use our own "cookies" and third party cookies to improve services and to see statistical information. By using this website, you agree to our Privacy Policy