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World economies, and especially European ones, have become strongly interconnected in the last decades and a joint modelling is required. We propose here the use of Copulas to build flexible multivariate distributions, since they allow for a rich dependence structure and more flexible marginal...
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Copula-GARCH models have been recently proposed in the financial literature as a statistical tool to build flexible multivariate distributions. Our extensive simulation studies investigate the small sample properties of these models and examine how misspecification in the marginals may affect...
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This paper proposes dynamic copula and marginals functions to model the joint distribution of risk factor returns affecting portfolios profit and loss distribution over a specified holding period. By using copulas, we can separate the marginal distributions from the dependence structure and...
Persistent link: https://www.econbiz.de/10013133960
Daul et al. (2003), Demarta and McNeil (2005) and Mcneil et al. (2005) underlined the ability of the grouped t-copula to take the tail dependence present in a large set of financial assets into account, particularly when the assumption of one global parameter for the degrees of freedom (as for...
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