Normal distribution of the residuals is the traditional assumption in the classical multivariate time series models. Nevertheless it is not very often consistent with the real data. Copulae allows for an extension of the classical time series models to nonelliptically distributed residuals. In...

In this paper we provide a review of copula theory with applications to finance. We illustrate the idea on the bivariate framework and discuss the simple, elliptical and Archimedean classes of copulae. Since the cop- ulae model the dependency structure between random variables, next we explain...

Modeling the portfolio credit risk is one of the crucial issues of the last years in the financial problems. We propose the valuation model of Collateralized Debt Obligations based on a one- and two-parameter copula and default intensities estimated from market data. The presented method is used...

In this paper we analyse the properties of hierarchical Archimedean copulas. This class is a generalisation of the Archimedean copulas and allows for general non-exchangeable dependency structures. We show that the structure of the copula can be uniquely recovered from all bivariate margins. We...

Systemic weather risk is a major obstacle for the formation of private (nonsubsidized) crop insurance. This paper explores the possibility of spatial diversification of insurance by estimating the joint occurrence of unfavorable weather conditions in different locations. For that purpose copula...

This study proposes a novel framework for the joint modelling of commodity forward curves. Its key contribution is twofold. First, we introduce a family of dynamic conditional correlation models based on hierarchical Archimedean copulae (HAC-DCC), which are flexible but parsimonious instruments...

We propose an iterative procedure to efficiently estimate models with complex log-likelihood functions and the number of parameters relative to the observations being potentially high. Given consistent but inefficient estimates of sub-vectors of the parameter vector, the procedure yields...

Complex phenomena in environmental sciences can be conveniently represented by several inter-dependent random variables. In order to describe such situations, copula-based models have been studied during the last year. In this paper, we consider a novel family of bivariate copulas, called...

Systemic weather risk is a major obstacle for the formation of private (nonsubsidized) crop insurance. This paper explores the possibility of spatial diversification of insurance by estimating the joint occurrence of unfavorable weather conditions in different locations. For that purpose copula...