We investigate a systemic risk measure known as CoVaR that represents the value-at-risk (VaR) of a financial system conditional on an institution being under distress. For characterizing and estimating CoVaR, we use the copula approach and introduce the normal tempered stable (NTS) copula based...

In this article, a new reciprocal Rayleigh extension called the Xgamma reciprocal Rayleigh model is defined and studied. The relevant statistical properties are derived, and the useful results related to the convexity and concavity are addressed. We discussed the estimation of the parameters...

This paper proposes a dynamic multi-factor copula for use in high dimensional time series applications. A novel feature of our model is that the assignment of individual variables to groups is estimated from the data, rather than being pre-assigned using SIC industry codes, market capitalization...

Marketing researchers are increasingly taking advantage of the instrumental variable (IV)-free Gaussian copula approach. They use this method to identify and correct endogeneity when estimating regression models with non-experimental data. The Gaussian copula approach’s original presentation...

Purpose - To discuss subcopula estimation for discrete models. Design/methodology/approach - The convergence of estimators is considered under the weak convergence of distribution functions and its equivalent properties known in prior works. Findings - The domain of the true subcopula associated...