Modifying copulas for improved dependence modelling
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Date
Authors
Le Roux, Colette
De Waal, Alta
Journal Title
Journal ISSN
Volume Title
Publisher
CEUR Workshop Proceedings
Abstract
In 2007 and 2008, underestimation of correlations and risks, as well as the misuse
of dependence models, lead to the financial crisis. This highlighted the need
to improve dependence modelling through both the correlation parameter and
choice of model used. Copulas are useful for modelling dependence patterns in
multivariate data, as well as prediction in regression analysis.
Description
Keywords
Copula, Copula processes, Gaussian processes, Vine copulas, Bayesian methods
Sustainable Development Goals
Citation
Le Roux, C. & De Waal, A. 2019, 'Modifying copulas for improved dependence modelling', CEUR Workshop Proceedings, vol. 2540, pp. 1-3.