DAVID——Geographical Diversification - Huazhong University 97.pptVIP

Francisco Fraire - Dissertation Defense 10/6/2009 * * * Francisco Fraire - Dissertation Defense 10/6/2009 * Francisco Fraire - Dissertation Defense 10/6/2009 * * The moment matching matches the four moments of each of the stochastic variables but does not address the co-movement between the variables. The copula allows for the correlation coefficients to be calculated without assuming normality, allowing for all of the statistical moments to be considered. The copula only provides the correlation coefficient but it is different than the simple correlation that would calculated if normality