THE ROLE OF COPULAS IN THE HOUSING CRISIS

• 成果类型: Article
• 署名作者: Zimmer, David M.
• 署名单位: Western Kentucky University
• 刊物名称: REVIEW OF ECONOMICS AND STATISTICS
• ISSN/ISSBN: 0034-6535
• DOI: 10.1162/REST_a_00172
• 发表日期: 2012-05
• 页码: 607-620
• 关键词: bootstrap methods; gasoline prices; model selection; bubbles; inference; interdependence; volatility; contagion; MARKET; tests

摘要

Due to its simplicity and familiarity, the Gaussian copula is popular in calculating risk in collaterized debt obligations, but it imposes asymptotic independence such that extreme events appear to be unrelated. This restriction might be innocuous in normal times, but during extreme events, such as the housing crisis, the Gaussian copula might be inappropriate. This paper explores various copula specifications and finds that the degree to which housing prices are related based on the Gaussian copula is too small compared with real housing price data.