the entropy of copulas is the dual to the problem of minimizing the Kullback-Leibler cross entropy (KLCE) of joint …

This paper uses copulas to model the joint survival within the groups of hedge funds and funds of funds managed by the … capture the dependence caused by extreme events in the tails. The study employs both one and two-parameter families of copulas …

structure through copulas. The capability in coupling together the different marginal distributions allows the flexible modeling … for the SUR Tobit. The ability in capturing tail dependence is an additionally useful feature of the copulas, especially …

copulas and nested Gumbel copulas. We establish more realistic dependence structure than the existing copula models for credit … Archimedean copulas. To justify efficiency and accuracy of our proposed algorithms, we demonstrate several numerical examples …

by their pairwise copulas. We investigate in particular to which extent the nonstationarity of financial time series … affects both the estimation and the modeling of empirical copulas. We estimate empirical copulas from the nonstationary … structure on two different scales: globally and locally. Additionally, the asymmetry of the empirical copulas is emphasized as a …