functions for such processes by suggesting a copula function approach to estimate the parameters of the scale factors and of the …

Archimedean copulae build a large family of copulae exhibiting tail-dependency in many cases. We extend the classical … homogeneous (exchangeable) Archimedean copula to the heterogeneous case. This will extend the use of this copula family to …

copula. Using such a structure with specific marginals, we derive explicit expressions for the pdf of the aggregated risk and … are then used to investigate risk models in regard to aggregation, capital allocation and ruin problems. An extension to …

under a copula -- vine framework. The use of the copula vine permits each pair between the market and a stock to have their …

Copula functions have become the standard tool in modelling multivariate dependence over the last decade hence there … MATLAB. However recent developments in copulas like copula – GARCH models (Jondeau and Rockinger, 2006) and copula vines (Aas … et al 2009) have not been incorporated so far to any statistical language/software. The dynamic copula toolbox we present …

the unobserved heterogeneity of individuals in the same cluster using a parametric copula. This estimator makes it … copula. The likelihood function for each cluster is an integral whose dimension equals the size of the cluster, which may …

copula with NIG copula, double t-copula and gaussian stochastic correlation model. Because the the t-copula is technically … conclusion of the study is that in some cases Gaussian copula is inappropriate model for CDO pricing …

For the Markov property of a multivariate process, a necessary and sufficient condition on the multi-dimensional copula … copula, i.e., of the dependence structure. This extends results by Darswo et al. (1992) from dimension one to the … multivariate case. In addition to the one-dimensional case also the spatial copula between the different dimensions has to be taken …

A dynamic copula model is introduced, in which the copula structure is inferred from the realized covariance matrix …'s lemma. Applying this procedure day by day gives rise to a time series of daily copula parameters which can be approximated … portfolio risk-management, it is found that this time-varying realized copula model exhibits very good forecasting properties …

dependence structure between assets is studied using vine copula constructions, which allow for nonlinearity and asymmetry …