dependence framework. In order to answer the first question we estimate an unconditional mixture model of normal copulas, based … markov model of copulas, which allows for dynamic clustering of correlations. These models permit one to infer the relative …

stochastic processes. We obtain complete characterizations of many time series dependence structures in terms of copulas …-Kolmogorov stochastic equations. We also focus on the construction and analysis of new classes of copulas that have flexibility to combine … many different dependence properties for time series. Among other results, we present a study of new classes of copulas …

), CreditMetrics, KMV) still rely on Gaussian copulas. This paper complements the finance literature providing new insights into the … impact of different copulas in stress test applications using supervisory data of 17 large German banks. Our findings imply … high stress effects under extreme scenarios. Heavy-tailed copulas like the Clayton or the t copula are recommended in the …

modelling is required. We propose here the use of Copulas to build flexible multivariate distributions, since they allow for a …

and techniques such as copulas. …

by combining the entropy approach, dynamic copulas and rank correlations. Our density estimates yield information about …