Considering multivariate strongly mixing time series, nonparametric tests for a constant copula with specified or …

–Olkin copula and for a new singular copula that represents the dependence of the consecutive terms of the exponential …

We give the maximal distance between a copula and itself when the argument is permuted for arbitrary dimension … in which this bound might be attained. For each point in this subset we present a copula and a permutation, for which the …

taus i.e. structural tail dependences between banks using three models: Gaussian, t, and Clay copula GARCH. Using fuzzy c …/03/2003 ~06/30/2006 are used to estimate the parameters of threshold copula GARCH model and Kendall taus. The out-of-sample data … contagion risk from Citigroup. Among three models, in low state, Gaussian and t copula models have the better significance of …

of returns across seven GCC stock markets over the period 2004-2013 using copula models. The results of the marginal … models indicate strong volatility persistence in all the seven equity markets. The results from the copula models indicate …

employ copula method to capture the tail sensitivity (CS) of currencies to the global market, and compute the moment risk …