PL EN


2014 | 192 | 101-114
Article title

Wybrane metody estymacji parametrów funkcji łączących

Content
Title variants
EN
Review of Chosen Methods of Copula Estimation
Languages of publication
PL
Abstracts
EN
In this paper we provide a brief survey of some parametric estimation procedures for copula models. We review approaches to inference on copulas for random samples with dependent marginals and we also discuss the issue of robustness of estimation methods. The methods were considered in the context of the presence of outliers.
Year
Volume
192
Pages
101-114
Physical description
Contributors
References
  • Chen X., Fan Y.: Estimation and Model Selection of Semiparametric Copula-based Multivariate Dynamic Models under Copula Misspecification. "Journal of Econometrics" 2006, 135, 125-154.
  • Chen S., Poon S.: Modelling International Stock Market Contagion Using Copula and Risk Appetite. Working Paper 2007.
  • Cherubini U., Luciano E., Vecchiato W.: Copula Methods in Finance. Wiley, 2004.
  • Choros B., Ibragimov R., Permiakova E.: Copula Estimation. W: Copula Theory and Its Applications. Eds. P. Jaworski, F. Durante, W. Härdle, T. Rychlik. Springer, Dordrecht 2010 (Netherlands), 77-92.
  • Clayton D.G.: A Model for Association in Bivariate Life Tables and Its Application in Epidemiological Studies of Familial Tendency in Chronic Disease Incidence. "Biometrika" 1978, 65, 141-151.
  • Denuit M., Dhaene J., Goovaerts M., Kaas R.: Actuarial Theory for Dependent Risks: Measures, Orders and Models. Wiley, Chichester 2005.
  • Doman R.: Zastosowania funkcji łączących w modelowaniu dynamiki zależności na rynkach finansowych. Wydawnictwo Uniwersytetu Ekonomicznego, Poznań 2011.
  • Frank M.J.: On the Simultaneous Associativity of F(x,y) and xyF(x,y). "Aequationes Mathematicae" 1979, 19, 194-226.
  • Genest C., Favre A.C.: Everything You Always Wanted to Know about Copula but You Were Afraid to Ask. "J Hydrol Eng" 2007, 12, 347-368.
  • Genest C., Ghoudi K., Rivest L.: A Semiparametric Estimation Procedure of Dependence Parameters in Multivariate Families of Distributions. "Biometrika" 1995, 82, 543-552.
  • Gumbel E.J.: Bivariate Exponential Distributions. "Journal of the American Statistical Association" 1960, 55, 698-707.
  • Heilpern S.: Modele odporne. W: Statystyczne metody analizy danych. Red. W. Ostasiewicz. Wydawnictwo Akademii Ekonomicznej im. O. Langego, Wrocław 1998.
  • Heilpern S.: Funkcje łączące. Wydawnictwo Akademii Ekonomicznej, Wrocław 2007.
  • Joe H.: Multivariate Models and Dependence Concepts. Chapman & Hall, London 1997.
  • Joe H., Xu J.J.: The Estimation Method of Inference Functions for Margins for Multivariate Models. Technical Report No. 166, Department of Statistics, University of British Columbia, 1996.
  • Kim G., Silvapulle M., Silvapulle P.: Comparison of Semiparametric and Parametric Methods for Estimating Copulas. "Computational Statistics & Data Analysis" 2007, 51, 2836-2850.
  • Li D.: On Default Correlation: A Copula Approach. "Journal of Fixed Income" 2000, 9, 43-54.
  • Malevergne Y., Sornette D.: Testing the Gaussian Copula Hypothesis for Financial Assets Dependence. "Quantitative Finance" 2003, 3, 231-250.
  • McNeil A.J., Frey R., Embrechts P.: Quantitative Risk Management. Princeton University Press, Princeton 2005.
  • Mendes B., Melo E. de, Nelsen R.: Robust Fits for Copula Models. "Communications in Statistics - Simulation and Computation" 2007, 36(5), 997-1017.
  • Nelsen R.: An Introduction to Copulas. 2nd ed. Springer, New York 2006.
  • Patton A.: A Review of Copula Models for Economic Time Series. "J Multivariate Anal" 2012, 110, 4-18.
  • Rodriguez J.: Measuring Financial Contagion: A Copula Approach. "Journal of Empirical Finance" 2007, 41, 401-423.
  • Serfling R.J.: Approximation Theorems of Mathematical Statistics. Wiley-Blackwell, New York 1980.
  • Sklar A.: Fonctions de repartition a n dimensions et leurs margers. Publications de l'Instut Statistique de l'Universite de Paris, 1959, 8, 229-231.
  • Trzpiot G., Majewska J.: Testing for Tail Independence in Extreme Value Models Application on Polish Stock Exchange. "Acta Universitatis Lodziensis, Łódź, Folia Economica" 2011, 137-146.
Document Type
Publication order reference
Identifiers
ISSN
2083-8611
YADDA identifier
bwmeta1.element.desklight-1e2b790b-ce9d-48d1-aee0-68312ad489e0
JavaScript is turned off in your web browser. Turn it on to take full advantage of this site, then refresh the page.