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Copula–Based Models for Financial Time Series

  • Andrew J. PattonEmail author
Chapter

Abstract

This paper presents an overview of the literature on applications of copulas in the modelling of financial time series. Copulas have been used both in multivariate time series analysis, where they are used to characterize the (conditional) cross-sectional dependence between individual time series, and in univariate time series analysis, where they are used to characterize the dependence between a sequence of observations of a scalar time series process. The paper includes a broad, brief, review of the many applications of copulas in finance and economics.

Keywords

Marginal Distribution Asset Return Tail Dependence Multivariate Time Series Copula Model 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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© Springer-Verlag Berlin Heidelberg 2009

Authors and Affiliations

  1. 1.Department of Economics and Oxford-Man Institute of Quantitative FinanceUniversity of OxfordOxford OX1 3UQUnited Kingdom

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