Linear correlation is only an adequate means of describing the dependence between two random variables when they are … correlation coefficient becomes just one of many possible ways of summarising the dependence structure between the variables. In … decomposed into its n marginal distributions, and a copula, which completely describes the dependence between the n variables. We …

In this study we propose the use of the Student's t dependence function to model dependence between asset returns when … necessary, specifying the marginal distributions and their dependence. Traditionally, dependence is described by a correlation … matrix, implying the use of the dependence function inherent in the multivariate normal (Gaussian) distribution. Recent …

different copulas with time variation. Our model shows both types of changes in the dependence between several equity market …The dependence between asset returns varies. Its strength can become stronger or weaker. Also, its structure can change …

This paper studies the dependence in Mexican and Brazilian financial markets through a method that has proved to obtain … better results —along with the characterization of non-linearity and asymptotic dependence— than the use of simple … compared the results of numerical methods that solved for the Kendall’s tau in three types of copulas: the two …

consists of policies across a wide range of crops, plans, and locations. Weather and other latent variables induce dependence …

mixture copulas. We distinguish between the strength of dependence as determined by the parameter(s) of a given copula, and …This paper proposes a novel flexible approach to modelling time variation in asset return dependence by means of … the structure of dependence as determined by the copula specification. The suggested time-varying mixture copula allows …

In this study we propose the use of the Student's t dependence function to model dependence between asset returns when … necessary, specifying the marginal distributions and their dependence. Traditionally, dependence is described by a correlation … matrix, implying the use of the dependence function inherent in the multivariate normal (Gaussian) distribution. Recent …

modelling the dependence between markets using parametric families of copulas which offer various alternatives to the commonly …This paper investigates the level and development of cross-country stock market dependence using daily returns on stock … indices. The use of copulas allows us to build exible models of the joint distribution of stock index returns. In particular …

consists of policies across a wide range of crops, plans, and locations. Weather and other latent variables induce dependence …