is a measure of positive dependence through variance of the aggregate risk. During gross loss accumulation, the marginals …

. In this paper, we aimed to find its analytic formulas by considering multivariate copulas, which allow for the separation … of margins and dependence structures in modeling the returns of the aforementioned assets. Compared to multivariate …

“boom” or “bust”. Bivariate copula modelling has a rich variety of copulas that may be chosen to represent the modelled …

In this research, we employ a full-range tail dependence copula to capture the intraday dynamic tail dependence …-off and a rally thereafter. We also introduce a model-based unified tail dependence measure to directly model and compare … various tail dependence patterns. Using regression analysis of the upper and lower tail dependence simultaneously, we have …

the dependence between lines of business. An inadequate choice of the dependence structure may negatively impact the … robust estimation, and better captures the dependence between the risks. We also show that it generates smaller risk capital …

selected ESG indices and conventional ones and investigate dependence between them. Analysis of tail dependence is important to …, it is important to model and quantify it. The conditional volatility models from the GARCH family and tail-dependence …. Results of the research confirm the higher dependence of extreme values in the crisis period (e.g., tail-dependence values in …

in-sample and out-of-sample tests. The results show that the NTS copula outperforms traditional copulas in the accuracy … of both tail dependence and marginal processes modeling. …

dependencies within the system using tail dependence coefficients. Empirical results identify Attijariwafa Bank and Banque Centrale …