. In order to describe such situations, copula-based models have been studied during the last year. In this paper, we …

Gaussian, the NIG, the double-t, and the Gumbel copula model. After calibration of these models one obtains a time varying …

distribution functions on Rd + defined via a copula. Maximum likelihood estimation is based on the assumption of constant copula … suggest to test for time-varying dependence by calibrating a time-varying copula model and to reestimate the VMEM based on …

-dimensional hierarchical Archimedean copulae (HAC). A computationally ecient estimation procedure allows to recover the structure and the …

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 …

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 …

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. …

Archimedean copulas and allows for general non-exchangeable dependency structures. We show that the structure of the copula can be … uniquely recovered from all bivariate margins. We derive the distribution of the copula value, which is particularly useful for …

. 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 …