Universität zu Köln

Statistics for Copula-based Measures of Multivariate Association - Theory and Applications to Financial Data

Gaißer, Sandra Caterina (2010) Statistics for Copula-based Measures of Multivariate Association - Theory and Applications to Financial Data. PhD thesis, Universität zu Köln.

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    Concepts of association or dependence play a central role when considering multiple random sources in statistical models as they describe the relationship between two or more random variables. In particular, the concept of copulas has proven to be useful in many fields of application and research. Copulas split the multivariate distribution function of a random vector into the univariate marginal distribution functions and the dependence structure represented by the copula. This dissertation addresses the modeling, the estimation and the statistical inference of multivariate versions of copula-based measures of association such as Spearman's rho. Special focus is put on the analysis of the statistical properties of related nonparametric estimators as well as the derivation of statistical hypothesis tests. The latter may be used to verify specific modeling assumptions such as, for example, equal pairwise rank correlation. Further, statistical tests are developed to identify significant changes of association over time. The theoretical results are illustrated with applications to financial data.

    Item Type: Thesis (PhD thesis)
    Gaißer, Sandra Caterinas.gaisser@gmx.de
    URN: urn:nbn:de:hbz:38-32641
    Subjects: General statistics
    Uncontrolled Keywords:
    copula, measure of association, nonparametric statistics, hypothesis testingEnglish
    Faculty: Wirtschafts- u. Sozialwissenschaftliche Fakultät
    Divisions: Wirtschafts- u. Sozialwissenschaftliche Fakultät > Seminar für Wirtschafts- und Sozialstatistik
    Language: English
    Date: 2010
    Date Type: Completion
    Date of oral exam: 16 December 2010
    Full Text Status: Public
    Date Deposited: 03 Jan 2011 16:32:54
    NameAcademic Title
    Schmid, FriedrichProf. Dr.
    URI: http://kups.ub.uni-koeln.de/id/eprint/3264

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