of returns across seven GCC stock markets over the period 2004-2013 using copula models. The results of the marginal … models indicate strong volatility persistence in all the seven equity markets. The results from the copula models indicate …

employ copula method to capture the tail sensitivity (CS) of currencies to the global market, and compute the moment risk …

cluster time series of stock returns on the basis of their lower tail dependence coefficients, estimated with copula functions …

In this paper, three copula GARCH models i.e. Gaussian, Student-t, and Clayton are used to estimate and test the tail … Clayton copula GARCH, the threshold tests of Kendall’s tau between most stock markets except China are significant during both … subprime and Greek debt crises. The tests of Student-t copula GARCH estimated Kendall’s taus are only acceptable for subprime …

taus i.e. structural tail dependences between banks using three models: Gaussian, t, and Clay copula GARCH. Using fuzzy c …/03/2003 ~06/30/2006 are used to estimate the parameters of threshold copula GARCH model and Kendall taus. The out-of-sample data … contagion risk from Citigroup. Among three models, in low state, Gaussian and t copula models have the better significance of …

random variables. However, the concept of copula is not popular in Finance. In this paper, we show that copulas can be …

The study develops the methodology for a copula-based weather index insurance rating. As the copula approach is better … left tail of the joint distribution of a weather variable and the farm yield, we employ the Gumbel survival copula. Our … results indicate that, given the choice of an appropriate weather index to signal extreme drought occurrence, a copula …

extensions of the classic single factor Gaussian copula and may generate a skew. We consider examples with fat tailed …