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 …

random variables. However, the concept of copula is not popular in Finance. In this paper, we show that copulas can be …

The inverse of the (additive) generator of an Archimedean copula is a strictly decreasing and convex function, while … an inverse generator of an Archimedean copula from a utility function. If we derive the inverse of the generator from the …–Pratt coefficient of absolute risk aversion) and the strength of dependence featured by the corresponding Archimedean copula. Some new …

the random vector is formulated by means of an absolutely continuous copula, allowing for a variety of different … property into marginal and dependence structure contributions typical for copula approaches. Along the same lines we obtain the …

copula. We study the Laplace transform of the discounted penalty function and we give the explicit expression of it for the …

evaluation by applying an actuarial and financial method called copula. It is common for the percentage of on-time gate arrivals …

using intraday data from the New York Stock Exchange’s TAQ database. Instead of using a given parametric copula with a … predetermined shape, we study the empirical pairwise copula directly. We find that the shape of this copula resembles the Gaussian … copula to some degree, but exhibits a stronger tail dependence, for both correlated and anti-correlated extreme events. By …

independent. In this paper we relax this assumption. Using the Gauss copula theory, we present a new method to evaluate the …