# Copula Modelling to Analyse Financial Data

^{*}

## Abstract

**:**

## 1. Introduction

## 2. Background in Financial Copula Modelling

## 3. Copula Theory

#### Sklar’s Theorem (1959)

**Theorem**

**1**

**.**For any d-dimensional $dfH$ with univariate margins ${F}_{1},\dots ,{F}_{d}$, there exists a d-dimensional copula C such that:

## 4. Time Series Modelling

## 5. Financial Copula Modelling

## 6. Discussion

## 7. Conclusions

## Author Contributions

## Funding

## Institutional Review Board Statement

## Informed Consent Statement

## Data Availability Statement

## Acknowledgments

## Conflicts of Interest

## Abbreviations

ACF | Auto Correlation Function |

AIC | Akaike Information Criterion |

AR | Autoregressive |

ARCH | Autoregressive Conditional Heteroscedasticity |

ARMA | Auto Regressive Moving Average |

ARIMA | Auto Regressive Integrated Moving Average |

BIC | Bayesian Information Criterion |

CDF | Cumulative Density Function |

GARCH | Generalized AutoRegressive Conditional Heteroscedasticity |

MA | Moving Average |

PACF | Partial Autocorrelation Function |

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**MDPI and ACS Style**

Dewick, P.R.; Liu, S.
Copula Modelling to Analyse Financial Data. *J. Risk Financial Manag.* **2022**, *15*, 104.
https://doi.org/10.3390/jrfm15030104

**AMA Style**

Dewick PR, Liu S.
Copula Modelling to Analyse Financial Data. *Journal of Risk and Financial Management*. 2022; 15(3):104.
https://doi.org/10.3390/jrfm15030104

**Chicago/Turabian Style**

Dewick, Paul R., and Shuangzhe Liu.
2022. "Copula Modelling to Analyse Financial Data" *Journal of Risk and Financial Management* 15, no. 3: 104.
https://doi.org/10.3390/jrfm15030104