propose a new Dynamic Stochastic Mixed data frequency sampling (DSM) copula model, that decomposes the stock-oil relationship … show that investment portfolios, based on the proposed DSM copula model, are more accurate and produce better economic …

paper we propose a regime-switching AR-GARCH copula to model pairs of day-ahead electricity prices in coupled European …

; Frank copula ; Clayton copula …

In this paper I have used copula functions to forecast the Value-at-Risk (VaR) of an equally weighted portfolio … that asymmetries show up in their unconditional distribution, as well as in their unconditional copula. The VaR forecasting …-of-sample. -- Copula functions ; Forecasting ; Value-At-Risk …

competitiveness and sufficiently separates individuals who choose different effort levels, the market allocation is Pareto superior to … a social planner’s allocation. We construct a specific market game that naturally generates robust equilibria with these …