Coping with copulas
Book review
Copula Methods in Finance
by Umberto Cherubini, Elisa Luciano and Walter Vecchiato
John Wiley and Sons
310 pages, £60
ISBN 0470863447
You would be hard pressed to find a market practitioner or empirically orientated academic who still believes asset returns are well described by a normal distribution. Nonetheless, it would not be hard to find someone who still uses linear correlation as their sole measure of dependence between risky assets or exposures, even though linear correlation is unable, for
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