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representation as a time-varying heavy-tailed copula which is particularly useful if the interest focuses on dependence structures …
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This paper generalizes the locally optimal linear rank test based on copula from Shirahata (1974) resp. Guillén and …
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directions are linked through a 2m-dimensional copula. The approach is detailed in the case of a bivariate decomposition. We …
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This paper provides a strategy for portfolio risk management by inferring extreme movements in financial markets. The core of the provided strategy is a statistical model for the joint tail distribution that attempts to capture accurately the data generating process through an extremal modelling...
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