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

family of dynamic conditional correlation models based on hierarchical Archimedean copulae (HAC DCC), which are flexible, but …

. 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 …

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. …

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 …

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