Humboldt-Universität zu Berlin >> Wirtschaftswissenschaftliche Fakultät

 

Subproject B10

Dynamic Copula Models
 
Contact:
   
Head of Project : Prof. Dr. Wolfgang Härdle    
  Prof. Dr. Ostap Okhrin
Tel:

+49 (0)30-2093-5630

Fax:

+49 (0)30-2093-5649

Email:

haerdle@wiwi.hu-berlin.de
  ostap.okhrin@wiwi.hu-berlin.de

Address:

Humboldt-Universität zu Berlin
School of Business and Economics
CASE – Centre for Applied Statistics and Economics
Institute of Statistics and Econometrics
Unter den Linden 6
10099 Berlin

 

Employees

NameTitle Email
 
Bommes, ElisabethM.Sc.

 

Description


The project will study new classes of copula-based multivariate distributions, such as, hierarchical Archimedean copulae (HAC) and grid type copulae. The advantage of HAC is dimension reduction and simple methods of determining hierarchical structure. The grid copula approach is interesting because it allows for approximation to any other copula. The main idea of the project is to apply these techniques to the time varying financial models. First we will investigate the behaviour over time of HAC and grid-type copulae for asset returns. Another topic is the change of dependency (described by a copula) between elements of a collateral debt obligation (CDO). The application of dynamic semiparametric factor models (DSFM) to copulae will allow us to create a structural model. Development of new copula families and study of their properties are additional topics of this project.

 
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