Coping with Copulas

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Coping with Copulas

by Thorsten Schmidt of the University of Leipzig

December 2006

Introduction: Copulas are tools for modelling dependence of several random variables. The term copula was first used in the work of Sklar (1959) and is derived from the Latin word copulare, to connect or to join. The main purpose of copulas is to describe the interrelation of several random variables.

This paper is republished as Ch.1 in…