In this paper we estimated pair copula constructions (PCC) for three sets of markets: developed, Latin emerging and Asia-Pacific emerging. To that, we used daily prices from January 2003 to November 2011, totaling 1872 observations. After, we estimated the lower and upper tail dependence for...

In this paper we estimated pair copula constructions (PCC) for three sets of markets: developed, Latin emerging and Asia-Pacific emerging. To that, we used daily prices from January 2003 to November 2011, totaling 1872 observations. The last 200 observations were separated for posterior...

Elliptical distributions commonly applied to modeling the returns of stocks in high-dimensional portfolio are not capable of adequate describing the dependence between the components when their statistical properties are very diverse. The MGARCH and standard dynamic copula models are often of...

Joint modeling of multiple health related random variables is essential to develop an understanding for the public health consequences of an aging population. This is particularly true for patients suffering from multiple chronic diseases. The contribution is to introduce a novel model for...