You are here


Characterizing dependence in financial series

Loran Chollete, 2004
Faculty Advisor: Victor H. de la Pena
Print this abtract


In this thesis I address the question, how do financial series move together? In order to do this, I develop a new method of modelling different dependence structures, utilizing a mixed copula approach. This method may be applied in unconditional and conditional settings, and allows natural nesting of symmetric and asymmetric dependence. Moreover, the mixed copula framework is directly linked to issues of downside risk, and characterization of financial market turbulence. The first chapter develops my insights on issues of dependence that are common to various financial settings, and derives a number of useful technical and conceptual contributions. The second chapter builds on these contributions to estimate the unconditional structure of dependence in international financial markets. The third chapter introduces and develops a dynamic extension of the unconditional copula to address the importance of turbulence and quiescence in financial markets.

Doctoral Program News

Wong wins Deloitte Fellowship

We are proud to announce that Yu Ting (Forester) Wong is one of the recipients of the 2014 Deloitte Foundation Doctoral Fellowship in Accounting.

Read More About Yu Ting >

The PhD Program Congratulates John Yao

PhD student John Yao was a finalist in the 2013 M&SOM (Manufacturing & Service Operations Management) student paper competition.

Read More About John >

Apply Now
Sept 2014

Deadline: 01/05/14

MS Marketing
Deadline: 02/02/14

MS Financial Economics
Deadline: 02/02/14

MS Leadership
Rolling admission

Check Application Status

Once you've submitted your application, you can login and track your status by using the link below.

Check Status