framework based on copulas for modeling dependent multivariate uncertainties through the use of a decision tree. The proposed …

) and various copulas to build joint distributions of returns. A backtesting analysis using a Monte Carlo VaR simulation … that in general the copulas with the EVT provide better estimations of VaRs than the copulas with conventionally employed …

We investigate the dependence structure between Polish and foreign financial assets, including stocks, bonds and … contagion. We work in the copula framework, which offers a full description of the dependence structure. Importantly, we assess … extent long-term sovereign bonds exhibit economically significant tail dependence, while short-term bonds appear relatively …