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Copulae and Multivariate Probability Distributions in Finance (Hardcover, New)
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Copulae and Multivariate Probability Distributions in Finance (Hardcover, New)
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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.
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