organizer | institute |
Enzo Giacomini | Humboldt-Universität zu Berlin |
Prof. Dr. Wolfgang Härdle | Humboldt-Universität zu Berlin |
Ostap Okhrin | European University Viadrina, Frankfurt (Oder) |
Dr. Yarema Okhrin | European University Viadrina, Frankfurt (Oder) |
Despite of its numerous advantages, the Gaussian distribution is widely criticized as an appropriate way of modeling data in finance. Recently the need for non-Gaussian alternatives was recognized not only for modeling the univariate marginal distributions but also for modeling the dependencies within multivariate data sets. The theory of copulae provides a convenient and flexible solution to this problem. The copulae have numerous advantages. First, they allow the separation of the margins from the pure dependency structure. Second, they generate a much more rich family of distributions compared to the elliptical distributions, for example. And third, in most cases an explicit expression for the distribution function is available. Due to this, copulae found numerous applications in finance. Among the most important fields are modeling the asymmetries in dependencies, value-at-risk, portfolio selection under copula based distribution of asset returns, etc. The importance of copulae is reflected by an increasing number of papers published in top journals both in finance and in statistics.
The workshop is aimed to get together researchers working on copulae and to stimulate the exchange of ideas and current achievements. A two-day workshop provides an ideal opportunity for tight and intensive discussions. The workshop consists of an invited talk and 8-10 contributed talks forty five minutes each. Around half of the contributed talks will deal with the theoretical problems and the other half with the empirical applications.
For participants with no talk the participation fee is 100 euros and it is payable upon arrival to the workshop. It includes the workshop dinner. The registration form is downloadable from here
The workshop will take place in the Weierstrass Institute for Applied Analysis and Stochastics (Berlin, Mohrenstrasse, 39. Not far away from the Gendarmenmarkt)
CASE - Center for Applied Statistics and Economics Humboldt-Universität zu Berlin Wirtschaftswissenschaftliche Fakultät Spandauer Str. 1 10178 Berlin |
Phone: +49(0)30-2093-5630 Fax: +49(0)30-2093-5649 E-Mail: ![]() |