Statistical modeling of dependence structures in finance via copulas (A07)

• Subject Area: Statistics and Econometrics
• Term: from 2013 to 2021
• Project identifier: Deutsche Forschungsgemeinschaft (DFG) - Project number 68236791

The project extends the application and mathematical analysis of statistical models and methods for copulas for spatial and temporal dependence in financial economics. Of par¬ticular interest are information efficiency, economic costs of model misspecification and the usefulness of copulas for multivariate extreme events.

• DFG Programme: Collaborative Research Centres
• Subproject of: SFB 823: Statistical Modelling of Nonlinear Dynamic Processes
• Applicant Institution: Technische Universität Dortmund
• Project Heads: Professor Dr. Axel Bücher; Professor Dr. Peter Posch, since 7/2017; Professor Dr. Gregor Weiß, until 6/2017