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...

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...

We focus on robust Bayesian estimation of the systematic risk of an asset in presence of outlying points. We assume that the returns follow independent normal distributions with a product partition structure on the parameters of interest. A Bayesian decision theoretical approach is used to...