This paper make an overview of the copula theory from a practical side. We consider different methods of copula … Gaussian copulae but also Hierarchical Archimedean Copulae. Afterwards we provide an empirical part to support the theory. …

. Nevertheless it is not very often consistent with the real data. Copulae allows for an extension of the classical time series … models to nonelliptically distributed residuals. In this paper we apply different copulae to the calculation of the static … and dynamic Value-at-Risk of portfolio returns and Profit-and-Loss function. In our findings copula based multivariate …

promising class of models are the hierarchical Archimedean copulae (HAC) that allow for non-exchangeable and non … for stock indices the copula parameter changes dynam- ically but the hierarchical structure is constant over time …

. Nevertheless it is not very often consistent with the real data. Copulae allows for an extension of the classical time series … models to nonelliptically distributed residuals. In this paper we apply different copulae to the calculation of the static … and dynamic Value-at-Risk of portfolio returns and Profit-and-Loss function. In our findings copula based multivariate …

We introduce the notion of realized copula. Based on assumptions of the marginal distributions of daily stock returns … and a copula family, realized copula is defined as the copula structure materialized in realized covariance estimated from … within-day high-frequency data. Copula parameters are estimated in a method-of-moments type of fashion through Hoeffding …

This paper make an overview of the copula theory from a practical side. We consider different methods of copula … Gaussian copulae but also Hierarchical Archimedean Copulae. Afterwards we provide an empirical part to support the theory …. -- copula ; multivariate distribution ; Archimedean copula ; GoF …

. Nevertheless it is not very often consistent with the real data. Copulae allows for an extension of the classical time series … models to nonelliptically distributed residuals. In this paper we apply different copulae to the calculation of the static … and dynamic Value-at-Risk of portfolio returns and Profit-and-Loss function. In our findings copula based multivariate …

promising class of models are the hierarchical Archimedean copulae (HAC) that allow for non-exchangeable and non … for stock indices the copula parameter changes dynam- ically but the hierarchical structure is constant over time …. Interestingly in our exchange rate example both structure and parameters vary dynamically. -- copula ; multivariate distribution …

We introduce the notion of realized copula. Based on assumptions of the marginal distributions of daily stock returns … and a copula family, realized copula is defined as the copula structure materialized in realized covariance estimated from … within-day high-frequency data. Copula parameters are estimated in a method-of-moments type of fashion through Hoeffding …