We introduce a copula-based dynamic model for multivariate processes of (non-negative) high-frequency trading variables … multiplicative error model we map the resulting residuals into a Gaussian domain using a Gaussian copula. Based on high … proposed copula-based transformation is supported by the data and allows disentangling (multivariate) dynamics in higher order …

perspective. We will show that the threshold can equivalently be expressed by a quantile of the copula of the family of pvalues … copula-based modeling of multivariate dependency structures for multiple testing problems and in particular for the …

aims at attacking this problem by building up a hidden Markov model (HMM) for Hierarchical Archimedean Copulae (HAC), where … second application we simulate rainfall process. -- Hidden Markov model ; Hierarchical Archimedean Copulae ; Multivariate …

static copula families and come to the conclusion that they are ordered with respect to their parameters and that the lower …-tail dependence of the intra-sector copula is increasing in the absolute values of skewness parameters. Furthermore, I show that the … joint characteristic function of the VCG asset returns can be explicitly given as a nested Archimedean copula of their …

global financial crisis. We investigate the evolution of the correlations using different copula models: the standard … Gaussian, the NIG, the double-t, and the Gumbel copula model. After calibration of these models one obtains a time varying … consequently calculate Value-at-Risk measures for iTraxx Europe tranches. -- CDO ; multivariate distributions ; copula ; implied …