Concerning copula simulations II.6.7.2-II.6.7.3

Discussion on Practical Financial Econometrics
Forum rules
DISCLAIMER: We do not warrant or represent that this forum or its content is free of viruses, worms or other code that might be contaminating or destructive. We cannot guarantee that documents or files downloaded from the Site will be free from viruses and we do not accept any responsibility for any damage or loss caused by any virus. Accordingly, for your own protection, you must use virus-checking software when using the forum. You must not post or provide to us via the forum, any document or file which you believe may contain a virus. You must virus check any document or file which you intend to post or provide to us via the forum. You must ensure that any document or file you intend to post to the forum does not contravene any applicable laws or contravene any person's legal rights. We do not accept any responsibility for any damage or loss you may suffer.
Posts: 2
Joined: Sun Jun 01, 2014 1:45 pm

Concerning copula simulations II.6.7.2-II.6.7.3

Postby » Fri Jun 06, 2014 8:32 am

Greetings Carol!

first of all thanks for great and clear books. i am student from Helsinki university in doctoral program specializing in banking research.

i have question concerning copulas. i attached some material for thinking the problem (my perspective in attached carol copula questions.xls).

copula is defined as

C(u1,....,un) = Pr(U1<u1,...., Un < un)

and to rewrite the same to using the probability function F(X1) of assets.

C(u1,....,un) = Pr(U1<F(X1),...., Un < F(Xn))

i read this that the copula would be the probability that the assets X1,....Xn gets event that gets value which corresponds to F(x) < U1 and the U1 is a treshhold like 0.05.

i attached 3 questions for you concerning copula related how to interpret the copula. i hope you could educate me and clarify my confusion,

thanks in advance,

carol copula questions.xlsx
(14.74 KiB) Downloaded 382 times

Return to “Volume II”

Who is online

Users browsing this forum: No registered users and 1 guest