Time and Space Varying Copulas

Details Time and Space Varying Copulas Time and Space Varying Copulas

2008-12-17

arxiv.org/abs/0812.3208v1

Mathematics

Statistics Theory

Scientific paper

In this article we review existing literature on dynamic copulas and then propose an n-copula which varies in time and space. Our approach makes use of stochastic differential equations, and gives rise to a dynamic copula which is able to capture the dependence between multiple Markov diffusion processes. This model is suitable for pricing basket derivatives in finance and may also be applicable to other areas such as bioinformatics and environmental science.

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