Hello great content! ... you made me subscribe to your channel! ... Is it possible you make a series of videos talking about Copulas and their implementations in finance? I know they gained a lot of bad reputation due to the Great Financial Crisis of 2008, but to me all resumes to bad assumptions of the people that used & applied the wrong copulas to model risk. Complex copulas, like Vine copulas or Bayesian Copulas are very effective tools to model multiple dependences. And I know that the industry are trying to use them as statistical arbitrage tools. Unfortunately does not exist too much content about copulas especially in Python in youtube or even in the Web. I'm now trying to enter in the field of Quant (only with electronics/telecoms engineering background) and I want to understand the dependence (dynamics) between several assets and it's hard to find good models that describe it with good confidence. Yes, I understand that market dynamics are very complex (and many times exhibit chaotic behaviour), but amazes me how we, in an time of huge technological advances and with all the technology and knowledge to our disposal, still struggle to understand the markets and their dynamics.
@@QuantPy Nothing worse then not incorporating non-stationarities in dependencies when performing portfolio optimization especially if the optimization method is very tail sensitive.
