calculated using an invariance principle for the sequential empirical copula process. The limit distribution is free of nuisance …

The paper presents the research results on detection of structural breaks in copula models of multivariate time …

in stationary Markov chains using copula functions. We obtain sucient conditions for a geometric rate of mixing in models … tail dependence in the copula function. Geometric rho-mixing is obtained under a weaker condition that permits both … of this kind. Geometric beta-mixing is established under a rather strong sucient condition that rules out asymmetry and …

in stationary Markov chains using copula functions. We obtain conditions that imply a geometric rate of mixing in models … and tail dependence in the copula function. Rho-mixing, which implies a geometric rate of alpha-mixing, is obtained under … of this kind. A geometric rate of beta-mixing is shown to obtain under a rather strong condition that rules out asymmetry …

This paper examines the marginal distributions of stocks and bonds, and a copula between the movement of stock prices … risk of an aggregated portfolio, a copula is utilized for risk aggregation, which captures various dependencies in the … median and the tail of marginal distributions, unlike a linear correlation. In this study, various types of copula, including …

Copulae became an extremely popular tool in different areas of research. Since the first applications in risk …

distributions. A promising class of models is that of hierarchical Archimedean copulae (HAC), which allows for non-exchangeable and …