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 …

the dependence of subindexes under study. The results confirm the leading role of the banking sector in the Polish economy …. The dependence structure of the WIG-banking subindex and other subindexes is, in general, asymmetrical. The links between … suggests the usefulness of Regular Vine Copulas in analyzing dependence structures of a number of financial time series. …

economic sections were compared among themselves; and with the help of a diffusion analysis, the dependence of the evaluation …

dependence, without restrictions on marginal properties, by imposing a multi-factorial structure separately on both positive and … negative jumps. Such a new approach provides higher flexibility in calibrating nonlinear dependence than in other comparable … multivariate fit of stock index returns in terms of both linear and nonlinear dependence. An example of multi-asset option pricing …