values theory VaR model. Even in 2008 financial crisis, the conditional EVT model is more accurate and reliable for … accuracy models like the conditional EVT model, and this is the case for the assets being studied in this paper. …

of the Extreme Value Theory (EVT) to evaluate the corresponding capital allocation. In this paper, we highlight the …

-GH model with time-varying copula differ substantially from the prices implied by the GARCH-Gaussian dynamic copula model … Heteroskedastic (GARCH) process. In order to provide a general framework being able to accommodate skewness, leptokurtosis, fat tails … is used for innovations. As the association between the underlying assets may vary over time, the dynamic copula approach …

Heteroskedastic (GARCH) process. As the association between the underlying assets may vary over time, the dynamic copula with time …-varying parameter offers a better alternative to any static model for dependence structure and even to the dynamic copula model … Shanghai and Shenzhen Stock Composite Indexes. Results show that the option prices obtained by the time-varying copula model …

both fractional cointegration and copula techniques. The former exploits the long memory behavior of the volatility … for the European and British exchange rates. Concerning the copula analysis, we conclude in favor of weak dependence when …

Conditional dependence is expressed as a projection map in the trivariate copula space. The projected copula, its … sample counterpart and the related process are defined. The weak convergence of the projected copula process to a tight … centered Gaussian Process is obtained under weak assumptions on copula derivatives. …