Abstract
Understanding dependence among financial stocks is vital for option pricing and forecasting portfolio returns. Copula modeling has a long history in this area. However, the restrictive use of the multivariate Gaussian copula with no tail dependence has been blamed for the financial crisis in 2007–2008 (see Li 2000, Salmon 2012 and recently Puccetti and Scherer 2018), and therefore it is important to allow for much more flexible dependence models such as allowed by the vine copula class. In this context, the possibility of modeling tail dependence by vine copulas has to be mentioned.
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Czado, C. (2019). Case Study: Dependence Among German DAX Stocks. In: Analyzing Dependent Data with Vine Copulas. Lecture Notes in Statistics, vol 222. Springer, Cham. https://doi.org/10.1007/978-3-030-13785-4_10
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DOI: https://doi.org/10.1007/978-3-030-13785-4_10
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