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Copulas, Goodness-of-Fit Tests and Measurement of Stochastic Dependencies Before and During the Financial Crisis

In: Operations Research Proceedings 2010

Author

Listed:
  • Peter Grundke

    (University of Osnabrück)

  • Simone Dieckmann

    (University of Osnabrück)

Abstract

By means of goodness-of-fit tests, it is analyzed for a multitude of portfolios consisting of different asset classes whether the stochastic dependence between the portfolios’ constituents can be adequately described by multivariate versions of some standard parametric copula functions. Furthermore, it is tested whether the stochastic dependence between the returns of different asset classes has changed during the recent financial crisis.

Suggested Citation

  • Peter Grundke & Simone Dieckmann, 2011. "Copulas, Goodness-of-Fit Tests and Measurement of Stochastic Dependencies Before and During the Financial Crisis," Operations Research Proceedings, in: Bo Hu & Karl Morasch & Stefan Pickl & Markus Siegle (ed.), Operations Research Proceedings 2010, pages 105-110, Springer.
    • Handle: RePEc:spr:oprchp:978-3-642-20009-0_17
    DOI: 10.1007/978-3-642-20009-0_17
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    Cited by:

    1. Grundke, Peter & Polle, Simone, 2012. "Crisis and risk dependencies," European Journal of Operational Research, Elsevier, vol. 223(2), pages 518-528.

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