Middle East Technical University Institute of Applied Mathematics Seminars

Copula Method in Finance
Ekin Baris Sah
Institute of Applied Mathematics, METU, Turkey
Özet : Copula method is a very popular topic in finance recently. This method is used to measure dependency between stock markets and commodities, stock markets and macroeconomic news, etc. Studying with non-linear models and non-Gaussian distributions, copula gives very useful results in financial markets. In this presentation, Copula function is defined and compared with other dependency measuring methods. To measure correlation there are two different approaches: Top-Down and Bottom-Up Approaches. Copula function uses a Bottom-Up Approach. Advantages and disadvantages of the method are stated as well. In addition to theoretical discussion, very basic formulation and rules of Copula are provided.
  Tarih : 07.03.2017
  Saat : 13:40
  Yer : IAM S212
  Dil : English