Change-point analysis for dependence structures in finance and insurance
chapter
posted on 2016-04-21, 10:16authored byAlexandra Da Costa Dias, P. Embrechts
Over the recent years, both in finance and insurance, the modelling
of dependence beyond linear correlation has become a key area of
research. The notion of copula has been used with success in order
to model these more general dependence concepts. We will discuss
changes in dependence structures by using change-point techniques
for specific parametric copula families. Besides some basic theory,
some applied examples will be presented.
History
Citation
Da Costa Dias, A;Embrechts, P, Change-point analysis for dependence structures in finance and insurance, ed. Szegoe, G, 'Risk Measures for the 21st Century', Wiley, 2004, pp. 321-335
Author affiliation
/Organisation/COLLEGE OF SOCIAL SCIENCES, ARTS AND HUMANITIES/School of Management