-factor Gaussian copula model and can easily be implemented within the framework of the existing computational infrastructure. As it … turns out, the Gaussian copula model can itself be recast into this framework highlighting its limitations. The model can …

of symmetric (Gaussian copula) or asymmetric (Clayton copula) type. Finally, using 13 EU and US assets, we implement the …

dominance of the leader. For this purpose we use the notion of copula, which connects two or more random variables with given … parameter of the copula is computed using the value of Kendall. …

the VIX as a stock market uncertainty proxy and a copula-based Markov approach the stable nonlinear relation between …

The paper presents the research results on detection of structural breaks in copula models of multivariate time …

The paper is aimed at making comparative analysis of main market risk features based on the copula-modeling and on the … is used for practical implementation of the introduced methodology when dealing with copulas.Copula application makes it …

The article deals with the issue of copula use in the program of market risk hedging. Copula-models performance is … compared to the OLS-based ones. Fully parametric and semi-parametric approaches to copula-modeling are investigated. The copula …-the-less, it is shown that copula-based approaches are able to outperform OLS-based ones only for direct hedging programs, while …

Problems which are related to copula functions, their properties, selection methods for specific baseline data … reflect the specific features of the available data. There are grounds to argue that models which are based on copula …

structure of the two rates using Patton (2006a) time-varying Symmetrised Joe-Clayton copula. We find evidence of asymmetric …