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...

Статья содержит вторую часть консультации, посвященной копула-функциям и их использованию в моделировании многомерных распределений вероятностей. В ней...

Проблематика копула-функций, их свойств, способов подбора под конкретные исходные данные, оценивания, прикладных возможностей крайне скупо представлена в...

During the last decades a wide literature has focused on the relationship volume-volatility on financial markets. This paper investigates the temporal dynamics of volatility and volumes, supposing, as in Bollerslev and Jubinsky (1999), that the link has to be found in their long-run...

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...

Sergey Aivazian was the head of my department at the Moscow School of Economics, but he was much more than that. He played an important role in my life, and he contributed to my studies devoted to copula modelling. This small memoir reports how this amazingly polite and smart scientist helped me...

Заключительная часть консультации посвящена описанию подходов к эмпирическому подбору подходящей копула-функции и методов статистической проверки гипотез,...