indices from Archimedean copulas, including an empirical copula. In contrast to other pairs, the US–UK first factor pair has …

Copula modeling has become an increasingly popular tool in finance to model assets returns dependency. In essence … stock data, we illustrate how tail-dependency tests may be misleading as a tool to select a copula that closely mimics the …

using intraday data from the New York Stock Exchange’s TAQ database. Instead of using a given parametric copula with a … predetermined shape, we study the empirical pairwise copula directly. We find that the shape of this copula resembles the Gaussian … copula to some degree, but exhibits a stronger tail dependence, for both correlated and anti-correlated extreme events. By …

independent. In this paper we relax this assumption. Using the Gauss copula theory, we present a new method to evaluate the …

dependence structure between the U.S. and Chinese stock market. The estimated static copula results for the entire period show … that the SJC copula performs best, indicating asymmetric characteristics of the tail dependence structure. The estimated … dynamic copula results show that the time-varying t copula achieves the best performance, which means the symmetry dynamic t …

form for the copula is an open question in the literature. This paper develops a goodness-of-fit test for copulas based on …. The test is applied to a dataset of US large cap stocks to assess the performance of the Gaussian copula for the … portfolios of assets of various dimension. The Gaussian copula appears to be inadequate to characterize the dependence between …

multifractal models for electricity prices. In this paper we propose a flexible Copula-MSM (Markov Switching Multifractal) approach … for modeling spot and weekly futures price dynamics. By using a conditional copula function, the framework allows us to … models. We also demonstrate how the Copula-MSM model can be employed for finding optimal portfolios, which minimizes the …