copulabased non linear quantile regression known as copula quantile regression (CQR).The discussion of the properties of the … volatility series and empirical findings inthis paper have significance for portfolio optimization, hedging strategies …

We derive the optimal hedging ratios for a portfolio of assets driven by a Cointegrated Vector Autoregressive model …

papers cover the following topics: currency hedging strategies using dynamic multivariate GARCH, risk management of risk …

the co-movement between the two assets. For this purpose, use is made of industry standard methods, like the naive hedging … correlations, the reduction in portfolio variance produced by different hedging strategies is examined. The data suggests that the …

We consider a new copula method for mixed marginals of discrete and continuous random variables. Unlike the Bayesian … methods in the literature, we use maximum likelihood estimation based on closed-form copula functions. We show with a … using data from the 2013 Household Finance Survey, we show how the copula dependence between income (continuous) and …

robust to large innovations. The model also admits a representation as a time-varying heavy-tailed copula which is …