Add to ORKGUnderstanding the underlying mechanism of influence that is present in the financial market is a great challenge. In this work, the conditional copula function is presented. In some contexts, the dependence structure between two variables can be highly influenced by one or more covariates, so it is of interest to know how this dependence structure changes with the value taken by the covariates. An application is carried out to estimate the influence of economic sectors on 46 large companies included in the EUROSTOXX50
This paper examines the time-varying conditional dependency between commodity markets and stock mark...
Copula functions have been widely used in actuarial science, finance and econometrics. Though multiv...
There is well-documented evidence that the dependence structure of financial assets is often charact...
Understanding the complex nature of financial markets is still a great challenge. In particular, a c...
This chapter introduces a flexible copula-based multivariate distributional specification that allow...
Cahier de Recherche du Groupe HEC Paris, n° 723We develop a new methodology that measures conditiona...
In this paper we provide a review of copula theory with applications to finance. We illustrate the i...
Copula functions have been widely used in actuarial science, finance and econometrics. Though multiv...
The Financial Risk Management (FRM) aims to identify, measure and manage risks in different sectors....
Understanding and quantifying dependence is at the core of all modelling efforts in the areas of ins...
We consider the problem of modelling the dependence between financial markets. In financial economic...
This paper aims to introduce the essence of dependence in modern finance, especially in the field of...
In recent times, increased dependence between markets and asset classes has rendered traditional tec...
Copulas provide a potential useful modeling tool to represent the dependence structure among variab...
International audienceThis paper proposes a new approach to measure the dependence in multivariate f...
This paper examines the time-varying conditional dependency between commodity markets and stock mark...
Copula functions have been widely used in actuarial science, finance and econometrics. Though multiv...
There is well-documented evidence that the dependence structure of financial assets is often charact...
Understanding the complex nature of financial markets is still a great challenge. In particular, a c...
This chapter introduces a flexible copula-based multivariate distributional specification that allow...
Cahier de Recherche du Groupe HEC Paris, n° 723We develop a new methodology that measures conditiona...
In this paper we provide a review of copula theory with applications to finance. We illustrate the i...
Copula functions have been widely used in actuarial science, finance and econometrics. Though multiv...
The Financial Risk Management (FRM) aims to identify, measure and manage risks in different sectors....
Understanding and quantifying dependence is at the core of all modelling efforts in the areas of ins...
We consider the problem of modelling the dependence between financial markets. In financial economic...
This paper aims to introduce the essence of dependence in modern finance, especially in the field of...
In recent times, increased dependence between markets and asset classes has rendered traditional tec...
Copulas provide a potential useful modeling tool to represent the dependence structure among variab...
International audienceThis paper proposes a new approach to measure the dependence in multivariate f...
This paper examines the time-varying conditional dependency between commodity markets and stock mark...
Copula functions have been widely used in actuarial science, finance and econometrics. Though multiv...
There is well-documented evidence that the dependence structure of financial assets is often charact...