-, KS- and L1 variants of the CvM-statistic based on the empirical copula process, Kendall's dependence function and … (especially when the sample size increases) where minimum-distance estimators based on the empirical copula process are superior … choosing the parameter estimator in contrast to focusing all attention on choosing the parametric copula model …

show that by modeling the conditional dependence structure using copulae we can detect changes in the dependence beyond … management measures as portfolio Value-at-Risk, pricing multi-name financial instruments and portfolio asset allocation. Our …

highlights how to model the frequency dependence of loss distribution via copula, which is a function that links marginal and …

for the default events, and defaults are connected through a copula function. We find that both default correlation and …

use of a vine copula model. Furthermore, the backtesting results for the L-IVaR of a portfolio consisting of five stocks …

) dependence structure of companies with a range of ESG scores, using high-dimensional vine copula modelling, we are able to show …

portfolio forecasting. More specifically, we take advantage of the flexible Markov switching copula multivariate GARCH (MS …

This paper develops a new unified approach to copula-based modeling and characterizations for time series and … corresponding to their finite-dimensional distributions. In particular, we focus on copula-based representations for Markov chains … functions. We also focus on the study of weak convergence of empirical copula processes in the time series context and obtain …

and the binomial. A multivariate distribution is created with the help of the Gaussian copula and stimation is performed …