This survey reviews the large and growing literature on copula-based models for economic
and financial time series. Copula-based multivariate models allow the researcher to specify …

Quantile regression offers a more complete statistical model than mean regression and now
has widespread applications. Consequently, we provide a review of this technique. We …

Copula Methods in Finance is the first book to address the mathematics of copula functions
illustrated with finance applications. It explains copulas by means of applications to major …

We 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 …

Fully revised and restructured, Measuring Market Risk, Second Edition includes a new
chapter on options risk management, as well as substantial new information on parametric …

In this paper we develop two fast procedures for valuing tranches of collateralized debt
obligations and n th to default swaps. The procedures are based on a factor copula model of …

This paper proposes a procedure for using a GARCH or exponentially weighted moving
average model in conjunction with historical simulation when computing value at risk. It …

Copula-based models provide a great deal of flexibility in modeling multivariate
distributions, allowing the researcher to specify the models for the marginal distributions …

This paper studies the estimation of a class of copula-based semiparametric stationary
Markov models. These models are characterized by nonparametric marginal distributions …

This paper presents a new approach to estimating the conditional probability distribution of
multiperiod financial returns. Estimation of the tails of the distribution is particularly important …