A copula is a multivariate distribution with uniform marginal distributions. Copulas are mostly used to represent/model the structure of dependence between random variables, separately from the margins.

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Estimation of ranks of log-returns via copula

I have successfully chosen and estimate a copula for the ranks of the log-returns of my actions. My question is, since I have worked with the ranks instead of directly the log-returns (in order to be ...
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Copula Value At Risk

Let's suppose I have two asset in my portfolio. I want to compute Copula Value At Risk. Can you help me? This is the code I wrote: ...