Open AccessBook
An Introduction to Copulas
TLDR
This book discusses the fundamental properties of copulas and some of their primary applications, which include the study of dependence and measures of association, and the construction of families of bivariate distributions.Abstract:
The study of copulas and their role in statistics is a new but vigorously growing field. In this book the student or practitioner of statistics and probability will find discussions of the fundamental properties of copulas and some of their primary applications. The applications include the study of dependence and measures of association, and the construction of families of bivariate distributions. This book is suitable as a text or for self-study.read more
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Modelling asymmetric exchange rate dependence
TL;DR: In this paper, the authors test for asymmetry in a model of the dependence between the Deutsche mark and the yen, in the sense that a different degree of correlation is exhibited during joint appreciations against the U.S. dollar versus during joint depreciations.
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Multivariate GARCH Models: A Survey
TL;DR: In this article, the most important developments in multivariate ARCH-type modeling are surveyed, including model specifications, inference methods, and the main areas of application in financial econometrics.
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Multivariate GARCH models: a survey
Abstract: This paper surveys the most important developments in multivariate ARCH-type modelling. It reviews the model specifications and inference methods, and identifies likely directions of future research.
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Everything You Always Wanted to Know about Copula Modeling but Were Afraid to Ask
TL;DR: This paper presents an introduction to inference for copula models, based on rank methods, by working out in detail a small, fictitious numerical example, the various steps involved in investigating the dependence between two random variables and in modeling it using copulas.
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On the coherence of Expected Shortfall
Carlo Acerbi,Dirk Tasche +1 more
TL;DR: In this paper, the authors compare some of the definitions of expected shortfall, pointing out that there is one which is robust in the sense of yielding a coherent risk measure regardless of the underlying distributions.