Copula-GARCH models have been recently proposed in the financial literature as a statistical tool to deal with flexible multivariate distributions. Our extensive simulation studies investigate the small sample properties of these models and examine how misspecification in the marginals may...

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...

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...

A few years after the introduction of the Amato and Dini laws, a renewed debate on reforming the Italian pension system and on modifying its structure and technical parameters is taking place. The present work simulates individual reactions to systemic changes, distinguishing among the different...

Extreme Value Theory (EVT) deals with the analysis of rare events and it has been recently used in finance to predict the occurrence of such events, or, at least, to build more robust models for unexpected extreme events. Particularly, EVT has been used to model the loss severities in...