Multivariate Survival Modelling: A Unified Approach with Copulas

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Pierre Georges | Arnaud-Guilhem Lamy | Emeric Nicolas | Guillaume Quibel | Thierry Roncalli

Consistent Single- and Multi-Step Sampling of Multivariate Arrival Times: A Characterization of Self-Chaining Copulas

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Damiano Brigo | Kyriakos Chourdakis

Robust Portfolio Optimization with Multivariate Copulas: A Worst-Case CVaR approach

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Fernando B. S. da Silva | Fllvio Ziegelman | Cristina Tessari

Variational Bayes Estimation of Time Series Copulas for Multivariate Ordinal and Mixed Data

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Rubbn Albeiro Loaiza Maya | Michael S. Smith

Multivariate Financial Dependence Analysis of Asian Markets Using Vine Copulas

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Abhay Kumar Singh | David E. Allen | Robert J. Powell | Krishna Reddy

Marginals Versus Copulas: Which Account For More Model Risk In Multivariate Risk Forecasting?

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Simon Fritzsch | Maike Timphus | Gregor N. F. Weiss

Capturing Non-Exchangeable Dependence in Multivariate Loss Processes with Nested Archimedean LLvy Copulas

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Benjamin Avanzi | Jamie Tao | Bernard Wong | Xinda Yang

The Aggregation of Market Risk and Credit Risk Using Different Copulas: A Simulation Study for Several Risk Measures

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Frederik Hesse | Andreas Pfingsten | Rolf Böve

Archimedean Copulas Derived from Morgenstern Utility Functions

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Jaap Spreeuw

Rebuilding Critical Values of Durbin-Watson Test in the Multivariate Regression and First-Order Autogressive Error Model Without Intercept

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Mei-Yu Lee

Rebuilding Critical Values of Durbin-Watson Test in the Multivariate Regression and First-Order Autogressive Error Model with Intercept

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Mei-Yu Lee

Generalized Additive Modelling for Conditional Copulas

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Valérie Chavez-Demoulin | Thibault Vatter

Bootstrapping Realized Multivariate Volatility Measures

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Prosper Dovonon | Silvia Goncalves | Nour Meddahi

Comonotonic Measures of Multivariate Risks

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Ivar Ekeland | Alfred Galichon | Marc Henry

Part B: Evaluating Concordance Measures via a Tensor Approximation of Generalized Correlated Diffusions

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Antonio Dalessandro | Gareth William Peters

Stress Testing and Systemic Risk Measures Using Multivariate Conditional Probability

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Tomaso Aste

Rebuilding Critical Values of Durbin-Watson Test by Sufficient Statistic in the Multivariate Regression and First-Order Autogressive Error Model Without Intercept

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Mei-Yu Lee

Rebuilding Critical Values of Durbin-Watson Test by Sufficient Statistic in the Multivariate Regression and First-Order Autogressive Error Model with Intercept

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Mei-Yu Lee

Evaluating Risk Measures and Capital Allocations Based on Multi-Losses Driven by a Heavy-Tailed Background Risk: The Multivariate Pareto-Ii Model

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Vali Alexandru Asimit | Raluca Vernic | Ricardas Zitikis

Coexistence of Symmetry Properties for Bayesian Confirmation Measures

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Emilio Celotto | Andrea Ellero | Paola Ferretti