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Copulae in High Dimensions: An Introduction

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Applied Quantitative Finance

Part of the book series: Statistics and Computing ((SCO))

Abstract

This paper reviews the latest proceeding of research in high dimensional copulas. At the beginning the bivariate copulas are given as a fundamental followed with the multivariate copulas which are the concentration of the paper. In multivariate copula sections, the hierarchical Archimedean copula, the factor copula and vine copula are introduced. In the following section the estimation methods for multivariate copulas including parametric and nonparametric routines, are presented. Also the introduction of the goodness of fit tests in copula context is given. An empirical study of multivariate copulas in risk management is performed thereafter.

The original version of this chapter was revised: For detailed information please see Erratum. The erratum to this chapter is available at 10.1007/978-3-662-54486-0_13

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Author information

Authors and Affiliations

  1. Chair of Econometrics and Statistics esp. in Transport, Technische Universität Dresden, Dresden, Germany

    Ostap Okhrin

  2. Department of Statistics and Operations Research, Universität Wien, Vienna, Austria

    Alexander Ristig

  3. School of Business and Economics, Humboldt-Universität zu Berlin, Berlin, Germany

    Ya-Fei Xu

Authors
  1. Ostap Okhrin
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  2. Alexander Ristig
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  3. Ya-Fei Xu
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Corresponding author

Correspondence to Ya-Fei Xu .

Editor information

Editors and Affiliations

  1. C.A.S.E.—Center for Applied Statistics and Economics, Humboldt-Universität zu Berlin, Berlin, Germany

    Wolfgang Karl Härdle

  2. School of Business and Economics, Humboldt-Universität zu Berlin, Berlin, Germany

    Cathy Yi-Hsuan Chen

  3. Department of Mathematics, University of Giessen, Giessen, Germany

    Ludger Overbeck

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Okhrin, O., Ristig, A., Xu, YF. (2017). Copulae in High Dimensions: An Introduction. In: Härdle, W., Chen, CH., Overbeck, L. (eds) Applied Quantitative Finance. Statistics and Computing. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-662-54486-0_13

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