Copulas and dependence structures
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Abstract (EN)
Copulas are used modelling dependicies between random variables.Copulas are first used by Sklar in 1959. Modelling the dependence structure with copulas is widely used the financial risk assessment and in the actuary analysis. The purpose of this study is to provide information about copula estimation methods and example with an application. In this study, the aim is modelling with copula estimation method between the highest and the lowest tempeature measureament in four region copulas which is encountered in finance. It seen that the most optimal model for tempeature measure of between regions is Gumbel Hougaard, Clayton and Gaussian copula families. Parameter values are calculated for these three families in study.
Author
Ayşe Metin
How to Cite
Ayşe Metin (Master Thesis). Copulas and dependence structures, 2010, Fırat University.
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