applications used in many areas like risk evaluation, option pricing or portfolio construction. The statistical tools used to …-frequency volatility estimators, market risk evaluation, covariance estimation and multivariate extensions of the processes. The book …

allocation problems, Value-at-Risk and time series models. The paper is complemented with an extensive simulation study and an …In this paper we provide a review of copula theory with applications to finance. We illustrate the idea on the … application to financial data. -- Distribution functions ; dimension reduction ; risk management ; statistical models …

Dependence modelling and estimation is a key issue in the assessment of portfolio risk. When measuring extreme risk in … terms of the Value-at-Risk, the multivariate normal model with linear correlation as its natural dependence measure is by no … the data. -- Risk management ; extreme risk assessment ; multivariate models ; dependence function …