Add to ORKGIn 2007 and 2008, underestimation of correlations and risks, as well as the misuse of dependence models, lead to the financial crisis. This highlighted the need to improve dependence modelling through both the correlation parameter and choice of model used. Copulas are useful for modelling dependence patterns in multivariate data, as well as prediction in regression analysis.http://sherpa.ac.uk/romeo/issn/1613-0073/http://ceur-ws.orgam2020Statistic
Purpose – This paper aims to statistically model the serial dependence in the first and second momen...
Joint work with a lot of people (see ref. further) The Working Paper “Copulas For Finance ” is avail...
A new way of choosing a suitable copula to model dependence is introduced. Instead of relying on a g...
Understanding and quantifying dependence is at the core of all modelling efforts in the areas of ins...
There is well-documented evidence that the dependence structure of financial assets is often charact...
An important issue in multivariate statistical modeling is the choice of the appropriate dependence ...
In recent times, increased dependence between markets and asset classes has rendered traditional tec...
In recent times, increased dependence between markets and asset classes has rendered traditional tec...
The Financial Risk Management (FRM) aims to identify, measure and manage risks in different sectors....
Past studies have shown that linear correlation measure may result in misleading interpretations and...
A new way of choosing a suitable copula to model dependence is introduced. Instead of relying on a g...
This paper aims to introduce the essence of dependence in modern finance, especially in the field of...
This paper studies the dependence in Mexican and Brazilian financial markets trough a method that ha...
In economics, many quantities are related to each other. Such economic relations are often much more...
In financial risk management it is essential to be able to model dependence in markets and portfolio...
Purpose – This paper aims to statistically model the serial dependence in the first and second momen...
Joint work with a lot of people (see ref. further) The Working Paper “Copulas For Finance ” is avail...
A new way of choosing a suitable copula to model dependence is introduced. Instead of relying on a g...
Understanding and quantifying dependence is at the core of all modelling efforts in the areas of ins...
There is well-documented evidence that the dependence structure of financial assets is often charact...
An important issue in multivariate statistical modeling is the choice of the appropriate dependence ...
In recent times, increased dependence between markets and asset classes has rendered traditional tec...
In recent times, increased dependence between markets and asset classes has rendered traditional tec...
The Financial Risk Management (FRM) aims to identify, measure and manage risks in different sectors....
Past studies have shown that linear correlation measure may result in misleading interpretations and...
A new way of choosing a suitable copula to model dependence is introduced. Instead of relying on a g...
This paper aims to introduce the essence of dependence in modern finance, especially in the field of...
This paper studies the dependence in Mexican and Brazilian financial markets trough a method that ha...
In economics, many quantities are related to each other. Such economic relations are often much more...
In financial risk management it is essential to be able to model dependence in markets and portfolio...
Purpose – This paper aims to statistically model the serial dependence in the first and second momen...
Joint work with a lot of people (see ref. further) The Working Paper “Copulas For Finance ” is avail...
A new way of choosing a suitable copula to model dependence is introduced. Instead of relying on a g...