Copula-Based Models for Financial Time Series.

Working paper

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 charaterise the (conditional) cross-sectional dependence between individual time series, and in univariate time series analysis, where they are used to characterise 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.

Authors: Patton, A

• Publisher: Oxford-Man Institute of Quantitative Finance
• Series: Working Papers
• Publication date: 2007-11-19
• Language: English