the random vector is formulated by means of an absolutely continuous copula, allowing for a variety of different … property into marginal and dependence structure contributions typical for copula approaches. Along the same lines we obtain the …

will certainly be drown if a more classes of Copula functions can be used. …

improved by using the conditional copulas and their mixture models to form joint distributions to calculate the optimal hedge … ratio. Backtesting diagnostics indicate that the copula-based HPVaR outperforms the conventional HPVaR estimator at both the …

global financial crisis. The semiparametric t-copula adequately forecasts the outer-sample VaR. These findings have …

simulation. First, the parameter of the copula are estimated, then marginal distributions are fitted and value at risk (VaR) and …

), and the way in which these measures have been affected by the global financial crisis. The semiparametric t-copula is … strong, after the global financial crisis. The semiparametric t-copula adequately forecasts the outer-sample VaR. These …

nonparametric sample estimates of the coefficient of lower tail dependence. We compare our proposed method to a conventional copula …-GARCH model where the parameter of a Clayton copula is estimated via Canonical Maximum-Likelihood. The superiority of our proposed …

In this paper some Archimedean copula functions for bivariate financial returns are studied. The choice of this family … financial time-series. A time-varying version of these copulae is also investigated. Finally, the Value-at-Risk is computed and … its performance is compared across different copula specifications. …

(CVaR) calculations, we introduce bivariate copula functions with two GJR-GARCH models as marginals. The results show that … the copula models and the competing dynamic conditional correlation (DCC) model are valid for almost all two …-asset portfolios with different weights. However, among models validated with standard procedures, copula models with asymmetric …