In this paper we discuss some statistical pitfalls that may occur in modeling cross-dependences with copulas in … financial applications. In particular we focus on issues arising in the estimation and the empirical choice of copulas as well … as in the design of time-dependent copulas. …

In this paper we provide a convenient econometric framework for the analy-sis of nonlinear dependence in financial … applications. We introduce models withconstrained nonparametric dependence, which specify the conditional distrib-ution or the … interpretation of the patterns of non-linear dependence and suffers from the curse of dimensionality). A natural non …

.nancial industry as well as in academia. Preliminary results indicate the prime importance of specifying the factor dependence … reasons. Firstly, it is well known that the distribution functions of riskfactors have lower tail-dependence. Derivatives …

We consider a nonparametric method to estimate copulas, i.e. functions linking joint distributions to their univariate … margins. We derive the asymptotic properties of kernel estimators of copulas and their derivatives in the context of a …