While copulas have been blamed as one of the causes of the financial crises, their mathematics is quite interesting. I would greatly appreciate any resources that discuss these in greater detail (outside of the traditional papers ex Frank and Gumbel)
Ιt is generally known that the theoretical background behind the Copulas and their methods is not so clear, making them even more attractive. Worth a read to the below links.
http://www.ermsymposium.org/2008/pdf/papers/Schirmacher.pdf
http://www.math.ethz.ch/~embrecht/ftp/copulas_personalview.pdf
A popular paper have been published in 2007 entitled
"Everything You Always Wanted to Know about Copula Modeling but Were Afraid to Ask"
I think this is good introduction to copulas.
Carol Alexander:"Market Risk Analysis Volume II Practical Financial Econometrics", John Wiley & Sons Ltd, 2008, pp 253-300
Great introduction to copula!
this is what i used..
1 R software packages on copulas - a good platform and some many pre-coded functions and tools
2 the paper mentioned by Jonathan - Everything You Always Wanted to Know about Copula Modeling but Were Afraid to Ask
3 Then you will find two video lectures on youtube by the Indian NPTEL effort. The lectures should be part of some civil engineering course: Probability Methods in Civil Engineering by Prof. Rajib Maity
I found this link useful:
http://www.financialwisdomforum.org/gummy-stuff/copulas-4.htm
This is a good question.
Here is a resource and source of many other resources on copula, bivariate copula, Gaussian copula, partial copula and vine copula:
J.-M. Kim, Y.-S. Jung, T. Choi, E.A. Sungur, Partial correlation with copula modeling:
http://facultypages.morris.umn.edu/~jongmink/research/CSDA_KIM.pdf
See Section 2.1, starting on page 3, for basic definitions. Partial copulas are introduced in Section 2.2, starting on page 5. Vine copula (vines) are introduced in Section 2.3, starting on page 7. And see the References Section, starting on page 16, for a good list of publications on the copula method, e.g.,
R.D. Matteis, Fitting Copulas to Data, Ph.D. Thesis, Institute of Mathematics of the University of Zurich 2001.
For a mathematical introduction, you may also read the following link
Chapter Copula Theory: An Introduction
Very interesting books and chapter to begin with copulas:
- "An introduction to copulas" by Roger B. Nelsen, Springer Science & Business media (2006)
- "Multivariate models ans multivariate dependance concepts" Chapitre5 by Harry Joe, CRC Press (1997)
- "Dependance modeling with copulas" by Harry Joe", CRC Press, Monographs on statistics ans applied probability (2014)
Hello I can recommend you a colleague expert in copulas from the UNAM (Mexico), his name is Christian Bucio, and his email: [email protected]. I´m sure he can recommend you many sources for any kind of level you need!
Regards.
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