copula can be uniquely recovered from all bivariate margins. We derive the distribution of the copula values, which is … particularly useful for tests and constructing confidence intervals. Furthermore, we analyse dependence orderings, multivariate … dependence measures, and extreme value copulas. We pay special attention to the tail dependencies and derive several tail …

distributions. A promising class of models is that of hierarchical Archimedean copulae (HAC), which allows for non-exchangeable and …

Archimedean opulas and allows for general non-exchangeable dependency structures. We show that the structure of the copula can be … uniquely recovered from all bivariate margins. We derive the distribution of the copula value, which is particularly useful for … tests and constructing confidence intervals. Furthermore, we analyse dependence orderings, multivariate dependence measures …

promising class of models are the hierarchical Archimedean copulae (HAC) that allow for non-exchangeable and non … for stock indices the copula parameter changes dynam- ically but the hierarchical structure is constant over time …

This paper make an overview of the copula theory from a practical side. We consider different methods of copula … Gaussian copulae but also Hierarchical Archimedean Copulae. Afterwards we provide an empirical part to support the theory. …

distributions. A promising class of models is that of hierarchical Archimedean copulae (HAC), which allows for non-exchangeable and …

This paper make an overview of the copula theory from a practical side. We consider different methods of copula … Gaussian copulae but also Hierarchical Archimedean Copulae. Afterwards we provide an empirical part to support the theory. …