Andrew J. Patton
Department of Economics and Oxford-Man Institute of Quantitative Finance, Univer-
sity of Oxford, Manor Road, Oxford OX1 3UQ, United Kingdom.



This paper presents an overview of the literature on applications of copulas
in the modelling of …nancial time series. Copulas have been used both in multivariate
time series analysis, where they are used to charaterise the (conditional) cross-sectional
dependence between individual time series, and in univariate time series analysis, where
they are used to characterise the dependence between a sequence of observations of a scalar
time series process. The paper includes a broad, brief, review of the many applications of
copulas in …nance and economics.