the copula-VAR model outperforms or at worst compares similarly to normal VAR models, keeping the same computational …

copula models to forecast returns for portfolios with 3 to 12 constituents. Our analysis assumes that investors have no short … across asset returns using the Archimedean Clayton copula in an out-of-sample, long-run multi-period setting. For portfolios … Clayton canonical vine copula (CVC) consistently produces the highest-ranked outcomes across a range of statistical and …

that indemnifies the loss when the insured encounters virus attack and provide pricing model for the policy using copula …

Tail-dependence evolution for the symmetrized Joe–Clayton copula is proposed to depend on an exponentially weighted … dependence between bank and insurance equity prices is assessed in a parametric copula, generalized autoregressive conditional …