Copula Theory And Its Applications In Financial Field

The term Copula is based on the notion of"coupling", the Cop-ula couples the marginal distributions together to form a joint distri-bution. The dependence relationship is entirely determined by the Copula, while statistical descriptions are entirely determined by the marginal. Copulas have become a popular multivariate modeling tool in many fields where the multivariate dependence is of great interest and the usual multivariate normality is in question. Conven-tional methods like correlation summarize dependence, whereas a Copula gives a model for the dependence structure that reflects more detailed knowledge of the random variables. Copulas have become a popular multivariate modeling tool in many fieldsIn this dissertation, Copula theory and its applications in multi-variate financial time series analysis are studied intensively. Two empirical researches of Copula theory in China stock markets are...