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 …

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 …

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

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 …

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 …

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 …