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Exploring the Copula Approach for the Analysis of Financial Durations
[chapter]
2008
Mathematical and Statistical Methods in Insurance and Finance
Preserved Fulltext
The object of the paper is the comparison of two approaches for the analysis of financial durations. The former is the parametric approach popularized by Engle & Russell (1998) and is implemented using the exponential, the Weibull, the Burr and the Pareto density functions. The latter makes use of bivariate and trivariate copula functions.
doi:10.1007/978-88-470-0704-8_13
fatcat:eeai2fjyafay5mm3wx6iditdqq