discretized version of a copula, the modelling approach allows one to construct separate models for the marginal response and for … copula in such a way that the marginal is a Bernoulli distribution. A probit link is used to take into account concomitant …

In this paper some Archimedean copula functions for bivariate financial returns are studied. The choice of this family … financial time-series. A time-varying version of these copulae is also investigated. Finally, the Value-at-Risk is computed and … its performance is compared across different copula specifications. …

In this paper, a copula-based correlation measure is proposed to test the interdependence among stochastic variables in … terms of copula function. Based on a geometric analysis of copula function, a new derivation method is introduced to derive …

copulabased non linear quantile regression known as copula quantile regression (CQR).The discussion of the properties of the …

robust to large innovations. The model also admits a representation as a time-varying heavy-tailed copula which is …

This paper uses copula approach to investigate the extreme dependence between crude oil and stock sectors in China …

changes in the deductible in shallow loss program scenarios. The copula approach we use simultaneously considers price and … densities may vary spatially, we propose a method for grouping counties in a t-copula that allows for heterogeneity in tail …

This study implements a regular vine copula methodology to evaluate the level of contagion among the exchange rates of …

producer, namely, a coffee exporter firm. Design/methodology/approach To model this risk, copula models and extreme value …