AStA Advances in Statistical Analysis

, Volume 94, Issue 1, pp 1–31 | Cite as

De copulis non est disputandum

Copulae: an overview
  • Wolfgang Karl Härdle
  • Ostap OkhrinEmail author
Original Paper


Normal distribution of residuals is a traditional assumption in multivariate models. It is, however, not very often consistent with real data. Copulae allow for an extension of dependency models to nonellipticity and for separation of margins from the dependency. This paper provides a survey of copulae where different copula classes, estimation and simulation techniques and goodness-of-fit tests are considered. In the empirical section we apply different copulae to the static and dynamic Value-at-Risk of portfolio returns and Profit-and-Loss function.

Copulae Multivariate dependence Value-at-Risk 


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Copyright information

© Springer-Verlag 2009

Authors and Affiliations

  1. 1.C.A.S.E.–Center for Applied Statistics and EconomicsHumboldt-Universität zu BerlinBerlinGermany

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