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 …

-linear dependence structure can result in an overestimation or underestimation of these metrics. Copula functions are commonly utilized … to address non-normal dependence structures. This study examines the impact of asset dependence on the squared maximum … Sharpe ratio using copulas and proposes a copula-based approach to tackle the estimation issue. The performance of the …

based on the conditional mutual information, a general measure of dependence between lagged variables. In caseof rejecting … the null hypothesis, this readily provides insights into the lags through which the dependence arises.The conditional …

shifting and random scaling of insurance risks focusing in particular on credibility models, dependence structure of claim … sizes in collective risk models, and extreme value models for the joint dependence of large losses. We show that specifying …