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copula's Introduction

copula

In our R code provided by Keilbar and Stanczak shows the value at risk from two stocks apple and google. There are three copulae used, Gaussian, student t and clayton. At the end, we compare the value at risk results with these three types of copulae and historical method.

we also use AIC to determine the best copula model from those three. The result is student t has the lower AIC value

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