This paper attempted to apply an EVT-based pairwise copula method for modelling risk interaction between foreign exchange rates and equity indices of the Johannesburg Stock Exchange (JSE) and to model the dependence structure of the underlying assets with some selected listed stock indices. We...

This paper introduces two new concepts of symmetry for multivariate copulas with a focus on tails regions. Properties of the symmetry concepts are investigated for bivariate copulas and a connection to radial symmetry is established. Two nonparametric testing procedures for the new concepts are...

Recently, several copula-based approaches have been proposed for modeling stationary multivariate time series. All of them are based on vine copulas, and they differ in the choice of the regular vine structure. In this article, we consider a copula autoregressive (COPAR) approach to model the...

This paper introduces two new concepts of symmetry for multivariate copulas with a focus on tails regions. Properties of the symmetry concepts are investigated for bivariate copulas and a connection to radial symmetry is established. Two nonparametric testing procedures for the new concepts are...