A new class of copulas with tail dependence and a generalized tail dependence estimator [PDF]
We present a new family of copulas (generalized mean copulas) which is positive comprehensive and allows for upper tail dependence. It includes the Spearman copula and a specific Fréchet copula as special cases.
Fischer, Matthias J., Hinzmann, Gerd
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Fuzzy implicators related to (quasi-)copulas [PDF]
Proceedings of the 2019 Conference of the International Fuzzy Systems Association and the European Society for Fuzzy Logic and Technology (EUSFLAT 2019), 2019 Anna Kolesárová, Radko Mesiar
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Copulas and Dependence models in Credit Risk: Diffusions versus Jumps [PDF]
The most common approach for default dependence modelling is at present copula functions. Within this framework, the paper examines factor copulas, which are the industry standard, together with their latest development, namely the incorporation of ...
Elisa Luciano
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Copulas and bivariate risk measures : an application to hedge funds [PDF]
With hedge funds, managers develop risk management models that mainly aim to play on the effect of decorrelation. In order to achieve this goal , companies use the correlation coefficient as an indicator for measuring dependencies existing between (i ...
Makram Ben Dbadis, Rihab Bedoui
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Goodness-of-fit test for copulas [PDF]
Copulas are often used in finance to characterize the dependence between assets. However, a choice of the functional form for the copula is an open question in the literature.
Panchenko, V.
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Some results on weak and strong tail dependence coefficients for means of copulas [PDF]
Copulas represent the dependence structure of multivariate distributions in a natural way. In order to generate new copulas from given ones, several proposals found its way into statistical literature.
Fischer, Matthias J., Klein, Ingo
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Multivariate copulas, quasi-copulas and lattices
We investigate some properties of the partially ordered sets of multivariate copulas and quasi-copulas. Whereas the set of bivariate quasi-copulas is a complete lattice, which is order-isomorphic to the Dedekind-MacNeille completion of the set of ...
Nelsen, Roger B. +2 more
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Testing the bivariate distribution of daily equity returns using copulas. An application to the Spanish stock market [PDF]
In this paper we deal with the identification of dependencies between time series of equity returns. Marginal distribution functions are assumed to be known, and a bivariate chi-square test of fit is applied in a fully parametric copula approach. Several
Antonio Alegre Escolano +1 more
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Testing the bivariate distribution of daily equity returns using copulas: an application to the Spanish stock market [PDF]
, 2005 In this paper we deal with the identification of dependencies between time series of equity returns. Marginal distribution functions are assumed to be known, and a bivariate chi-square test of fit is applied in a fully parametric copula approach. Several
Roch, Oriol, Alegre Escolano, Antonio
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A Copula-VAR-X Approach for Industrial Production Modelling and Forecasting [PDF]
World economies, and especially European ones, have become strongly interconnected in the last decades and a joint modelling is required. We propose here the use of Copulas to build flexible multivariate distributions, since they allow for a rich ...
Dean Fantazzini +4 more
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