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Introduction to Copulas

Date: Tuesday, June 21st, 15:00--17:00

Location:B212, Tong Bo Building, Liu Lin Campus

The public lecture

Given by

Professor: Ostap Okhrin

Dresden University of Technology

About the lecturer:

Ostap Okhrin is Professor of Econometrics and Statistics esp.Transportation at the Dresden University of Technology. He worked at the European University Viadrina and later was an Assistant and then Associate Professor for Statistics of Financial Markets at the Humboldt University of Berlin and one of the principal investigators of the CRC-649 (Collaborative Research Center) Economic Risk". He teaches multivariate and mathematical statistics. His research focuses on multivariate models in particular copulas and financial econometrics.

Abstract:

Copulas are becoming nowadays an important tool for modeling multivariate distributions. It flexibility in modeling asymmetry, tail dependence, and separation of the dependency from the margins made copulas THE tool in practice and academia. The course discuss basic ideas and a bit of history of copulas. We learn, step-by-step how to work with them in practical applications using R programming language: estimate, simulate, find appropriate model. Further we discuss novel techniques (adaptive estimation, HMM with copula and copula for high-frequency data) for copula in the time-series modeling.

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