The Fourier Copula: Theory & Applications

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Jeremiah L. Lowin

Estimation of VaR Using Copula and Extreme Value Theory

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Luiz Koodi Hotta | Edimilson C. Lucas | Helder P. Palaro

Financial Modelling with Copula Functions

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Poomjai Nacaskul

Copula-Based Orderings of Multivariate Dependence

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Koen Decancq

Kernel Estimation of Copula Densities and Applications

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Song LI | Param Silvapulle

Dynamic Copula Processes

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Alain G. Galli | Margaret Armstrong | Daniel Totouom

Imputation Via Copula and Transformation Methods, With Applications to Financial and Economic Data

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Yangyong Zhang | Craig A. Friedman | Jinggang Huang | Wenbo Cao

A New Copula for Modeling Tail Dependence

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Jeff Holman | Gordon Ritter

Copula-Based Multivariate Models with Applications to Risk Management and Insurance

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Marco Bee

Some Statistical Pitfalls in Copula Modeling for Financial Applications

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Jean-David Fermanian | O. Scaillet

Nonparametric Testing of Conditional Independence by Means of the Partial Copula

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Wicher Bergsma

Copula Based Impulse Response Analysis of Linkages Between Stock Markets

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Ryszard Doman | Malgorzata Doman

Assessing Virtual Water of Agricultural Products in a Semi-Arid Zone Based on Copula Theory: A Case Study in the Fars Province, Iran

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Fatemeh Dehghani | Nasser Talebbeydokhti | Seyed Mehrab Amiri

A Class of Multivariate Copula Which Can Be Determined by Its Marginal Copulas

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Hui Shao | Jingping Yang

Modelling Overnight and Daytime Returns Using a Multivariate Garch-Copula Model

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Long Kang | Simon H. Babbs

Copula-Based Formulas to Estimate Unexpected Credit Losses: The Future of Basel Accords?

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Fernando Francis Moreira

Modelling Overnight and Daytime Returns Using a Multivariate GARCH-Copula Model

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Long Kang | Simon H. Babbs

A g-and-h Copula Approach to Risk Measurement in Multivariate Financial Models

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Markus Huggenberger | Timo Klett

Credit Risk Stress Testing and Copulas: Is the Gaussian Copula Better than its Reputation?

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Philipp Koziol | Carmen Schell | Meik Eckhardt

Modeling the Dependence Structure between Australian Equity and Real Estate Markets – A Copula Approach

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Stefan Trück | Ning Rong