Workshop on ''Copulae: Theory and Practice''

Date: 7-8. December, 2007

Organization Committee

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)

Schedule

Friday, 7 December 2007
9:00-9:15	Opening Talk by Prof. Dr. Wolfgang Härdle	Humboldt-Universität zu Berlin	Qua de causa copulae me placent
9:15-10:15	Invited Talk by Dr. Johanna Neslehova	ETH Zürich, Switzerland	A primer on copulas for count data
10:15-10:30	coffee break
10:30-11:15	Prof. Dr. Friedrich Schmid	University of Cologne	Measuring Conditional Dependance of Stock Returns in Bull and Bear Markets
11:15-12:00	Kjersti Aas	Norwegian Computing Center	Pair-copula constructions - an introduction
12:00-14:00	lunch
14:00-14:45	Prof. Dr. Claudia Czado	Technical University Munich	Bayesian estimation of multivariate copulas using pair-copula constructions
14:45-15:30	Dr. Gabriel Frahm	University of Cologne	On the extremal dependence coefficient of multivariate distributions
15:30-15:45	coffee break
15:45-16:30	Barbara Choros	Humboldt-Universität zu Berlin	Modelling Dependence of Time Series with Copulae
16:30-17:15	Ostap Okhrin	European University Viadrina	HAC: Theory and Applications
19:00-	workshop dinner
Saturday, 8 December 2007
9:00-9:45	Marius Hofert	Universitaet Ulm	Sampling Archimedean copulas
9:45-10:30	PD Dr. Matthias Fischer	University of Erlangen-Nürnberg	An empirical analysis of multivariate copula models
10:30-10:45	coffee break
10:45-11:30	Prof. Dr. Mark Trede	University of Münster	Testing Archimedeanity
11:30-12:15	Prof. Dr. Ray-Bing Chen	National University of Kaohsiung,Taiwan	Independent Component Analysis via Copula Techniques
12:15-13:00	Closing Talk by Enzo Giacomini	Humboldt-Universität zu Berlin	Inhomogenous Dependence Modelling with Time Varying Copulae