Koedijk, Kees; Kole, Erik; Verbeek, Marno - C.E.P.R. Discussion Papers - 2006
Copulas offer financial risk managers a powerful tool to model the dependence between the different elements of a … an accurate copula for risk management. We extend standard goodness-of-fit tests to copulas. Contrary to existing … is too optimistic on diversification benefits, while the Gumbel copula is too pessimistic. Moreover, these differences …