is modelled using extreme value theory and the joint density of hedge fund index returns is constructed using a copula …

preserves a given set of marginals, a copula approach can be used to characterize the joint yield and price risk of corn and … soybeans, which are usually highly correlated. The copula approach has been spurred by the recent developments in the whole …. As a part of the study, various copula models are investigated for their suitability in modeling yield and price risks …

. In financial science, copula functions are frequently used insteadof correlation coefficients to model joint price … less use of thismethod. This research uses the concept of “partly nested Archimedean copula” to model therelationship …

models. In the third part of the study, copula approaches as an alternative are applied to measure farm credit risk under the … other industries.Estimated average asset correlation from Gaussian and t copula is 11%, similar to that by using a single … factor model (Katchova and Barry 2005). The estimated average default correlation from Gaussian copula is less than 1% while …

incorporating a copula dependence parameter into the VaR estimation. In addition, an alternative risk measure was also calculated …

for Levy processes, some regular copula can be extracted from the discrete samples of a joint process so as to correlate … processes are some Levy processes, the DSPMD converges to some Levy process. Compared with Levy copula, proposed by Tankov …, DSPMD offers easy access to statistical properties of the dependence structure through the copula on the random variable …

leverages the theory of copula,combined with a probabilistic framework from the machine learning community, to produce a … versatile tool for multiple time-series analysis. I coined this new model Kernel-based Copula Processes (KCPs). Under the new … long-range dependency can be captured by a copula function. The copula function separates the marginal behavior and serial …