Linear correlation is only an adequate means of describing the dependence between two random variables when they are … correlation coefficient becomes just one of many possible ways of summarising the dependence structure between the variables. In … decomposed into its n marginal distributions, and a copula, which completely describes the dependence between the n variables. We …

analyze the dependence measures between these two kinds of stock indexes in China. The linear method and nonlinear method was … dependence measures between these two indexes. The results are: Firstly, the Autoregressive-linear model (AR-linear Model) fits … empirical copula approach, the dependence measures between returns in percentage of Real Estate Sector Stock and Shenzhen Index …

In this study we propose the use of the Student's t dependence function to model dependence between asset returns when … necessary, specifying the marginal distributions and their dependence. Traditionally, dependence is described by a correlation … matrix, implying the use of the dependence function inherent in the multivariate normal (Gaussian) distribution. Recent …

) and various copulas to build joint distributions of returns. A backtesting analysis using a Monte Carlo VaR simulation … that in general the copulas with the EVT provide better estimations of VaRs than the copulas with conventionally employed …

different copulas with time variation. Our model shows both types of changes in the dependence between several equity market …The dependence between asset returns varies. Its strength can become stronger or weaker. Also, its structure can change …

We investigate the dependence structure between Polish and foreign financial assets, including stocks, bonds and … contagion. We work in the copula framework, which offers a full description of the dependence structure. Importantly, we assess … extent long-term sovereign bonds exhibit economically significant tail dependence, while short-term bonds appear relatively …

This paper studies the dependence in Mexican and Brazilian financial markets through a method that has proved to obtain … better results —along with the characterization of non-linearity and asymptotic dependence— than the use of simple … compared the results of numerical methods that solved for the Kendall’s tau in three types of copulas: the two …

framework based on copulas for modeling dependent multivariate uncertainties through the use of a decision tree. The proposed …

consists of policies across a wide range of crops, plans, and locations. Weather and other latent variables induce dependence …