Litecoin by using the Copula approach. We use Student-t, Frank, Clayton, Survival Clayton, Gumbel, and SJC copulas. We filter … symmetric dependence between return-volume is not found due to insignificance of student-t and Frank copula parameters. In a …

the state of the economy, we use a multivariate copula approach, taking the state-varying dependence of business segments …

We consider a bottom-up Markovian copula model of {portfolio} credit risk where instantaneous contagion is possible in … the form of simultaneous defaults. Due to the Markovian copula nature of the model, calibration of marginals and … dependence parameters can be performed separately using a two-steps procedure, much like in a standard static copula set-up. In …

Student-t copula. These results contradict some earlier studies that report no statistically significant or even negative … that the estimated copula parameters are not constant over time. We find in particular that the dependence is stronger … of copula methods. In particular the Student-t copula provides an appropriate quantification of VaR at different …

In spite of its simplicity, the popular One Factor Gaussian Copula model remains the market standard for the valuation … the Normal distribution (namely: the tails are too light, and there is no tail dependence, whatever is the copula … correlation). Alternative models have been proposed, among those is the double t copula, which does not share the Gaussian copula …

normality of the vine copula parameter estimator and show that all vine copula parameter estimators have comparable variance …