Copulas In Finance Ten Years Later

摘要

Copula functions are mathematical tools that have been used in finance for approximately tei years. Their main selling point is to separate the dependence function (copula) from the margina distributions. A little over a decade after the rise of copula modelling in finance, this articl provides an initial assessment of their application in financial contexts. More specifically, th main purpose of this paper is to contribute to an ongoing debate in the field: the choice o copulas. Through an empirical study of two composite stock indices (S&P 500 and CAC 40) dail returns over the period 2002-2011, we show that this methodological challenge is still unsolved With this in view, we suggest a method that enables to capture implicitly the empirical dependenc structure without assuming any specific parametric form for it.