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Copulas: An Introduction I - Fundamentals

Copulas: An IntroductionI - FundamentalsJohan SegersUniversit catholique de Louvain (BE)Institut de statistique, biostatistique et sciences actuariellesColumbia University, New York City9 11 Oct 2013 Johan Segers (UCL)Copulas. I - FundamentalsColumbia University, Oct 20131 / 74 The starting point:Margins versus dependenceDecomposition of a multivariate cdfFintoIunivariate marginsF1,..,FdIcopulaCIdea: the copulaCcaptures the dependence among thedvariables,irrespective of their marginal Segers (UCL)Copulas. I - FundamentalsColumbia University, Oct 20132 / 74 Course aimIntroduction to the basic concepts and main principlesIFundamentalsIIModelsIIII nferenceCaveats:IPersonal selection of topics in a wide and fast-growing fieldISpeaker s bias towards (practically useful) theoryIReferences are a random selection from an ocean of literatureJohan Segers (UCL)Copulas.

“Copulas and Dependence”. Nelsen, R. B. (2006). An Introduction to Copulas. New York: Springer. Trivedi, P. K. and D. M. Zimmer (2005). Copula modeling: an introduction for practitioners. Foundations and Trends in Econometrics 1(1), 1–111. + books on the use of copulas in specific domains, notably finance Johan Segers (UCL)Copulas.

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