Related papers: A New Asymmetric Copula with Reversible Correlatio…
This paper studies the extreme dependencies between energy, agriculture and metal commodity markets, with a focus on local co-movements, allowing the identification of asymmetries and changing trend in the degree of co-movements. More…
The key result of this paper is to characterize all the multivariate symmetric Bernoulli distributions whose sum is minimal under convex order. In doing so, we automatically characterize extremal negative dependence among Bernoulli random…
Did sovereign default risk affect macroeconomic activity through firms' access to credit during the European sovereign debt crisis? We investigate this question by a estimating a structural panel vector autoregressive model for Italy,…
Wide class of elliptically contoured distributions is a popular model of stock returns distribution. However the important question of adequacy of the model is open. There are some results which reject and approve such model. Such results…
Copula modeling consists in finding a probabilistic distribution, called copula, whereby its coupling with the marginal distributions of a set of random variables produces their joint distribution. The present work aims to use this…
Copula models have become popular in different applications, including modeling shocks, in view of their ability to describe better the dependence concepts in stochastic systems. The class of maxmin copulas was recently introduced by…
This paper introduces a copula-based model for independent but non-identically distributed data with heteroscedastic extremes marginal and changing tail dependence structures. We establish a unified framework for inference by proving the…
Using one of the key property of copulas that they remain invariant under an arbitrary monotonous change of variable, we investigate the null hypothesis that the dependence between financial assets can be modeled by the Gaussian copula. We…
We propose an approach to construct a new family of generalized Farlie-Gumbel-Morgenstern (GFGM) copulas that naturally scales to high dimensions. A GFGM copula can model moderate positive and negative dependence, cover different types of…
There are many research papers yielding the financial data models, where returns are tied either to the fundamental analysis or to the individual, often irrational, behaviour of investors. In the second case the bubble followed by the…
We propose a novel distributional regression model for a multivariate response vector based on a copula process over the covariate space. It uses the implicit copula of a Gaussian multivariate regression, which we call a ``regression…
Estimation of the covariance matrix of asset returns is crucial to portfolio construction. As suggested by economic theories, the correlation structure among assets differs between emerging markets and developed countries. It is therefore…
Following our previous work on copula-based nonsymmetric bivariate dependence measures, we propose a new set of conditions on nonsymmetric multivariate dependence measures which characterize both independence and complete dependence of one…
Given a random sample from a multivariate normal distribution whose covariance matrix is a Toeplitz matrix, we study the largest off-diagonal entry of the sample correlation matrix. Assuming the multivariate normal distribution has the…
This Letter introduces a generalization of known duplication-divergence models for growing random graphs. This general duplication-divergence model includes a new coupled divergence asymmetry rate, which allows to obtain the structure of…
Measures of tail dependence between random variables aim to numerically quantify the degree of association between their extreme realizations. Existing tail dependence coefficients (TDCs) are based on an asymptotic analysis of relevant…
In this paper, a new approach to bivariate modeling of autoregressive conditional duration (ACD) models is proposed. Specifically, we consider the joint modeling of durations and the number of transactions made during the spell. The…
This paper introduces constrained mixtures for continuous distributions, characterized by a mixture of distributions where each distribution has a shape similar to the base distribution and disjoint domains. This new concept is used to…
We propose the extension of Fr\'{e}chet-Hoeffding copula bounds for circular data. The copula is a powerful tool for describing the dependency of random variables. In two dimensions, the Fr\'{e}chet-Hoeffding upper (lower) bound indicates…
During the last two years, Europe has been facing a debt crisis, and Greece has been at its center. In response to the crisis, drastic actions have been taken, including the halving of Greek debt. Policy makers acted because interest rates…