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Gaussian Copula in Financial Asset Dependence by Dickson is a document available to read on EtoBox.
What is Gaussian Copula in Financial Asset Dependence about?
The paper investigates the validity of the Gaussian copula hypothesis for modeling dependencies between financial assets, finding it applicable to most currency and stock pairs, but not to commodities like metals. It highlights the risks of relying solely on the Gaussian copula, particularly in high correlation scenarios where extreme events may be overlooked. The study emphasizes the importance of considering alternative copulas, such as the Student copula, to better capture tail dependencies in financial
- Author
- Dickson
- Language
- EN