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 …

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

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 …

Recent studies in the empirical finance literature have reported evidence of two types of
asymmetries in the joint distribution of stock returns. The first is skewness in the distribution …

Integrated risk management for financial institutions requires an approach for aggregating
risk types (market, credit, and operational) whose distributional shapes vary considerably …

We consider the problem of estimating parametric multivariate density models when
unequal amounts of data are available on each variable. We focus in particular on the case …

This paper presents an overview of the literature on applications of copulas in the modelling
of financial time series. Copulas have been used both in multivariate time series analysis …

This paper defines two distribution free goodness-of-fit test statistics for copulas. It states
their asymptotic distributions under some composite parametric assumptions in an …

Portfolio analysis and optimization, together with the associated risk assessment and
management, require knowledge of the likely distributions of returns at different time scales …

A time-varying copula model is used to investigate the impact of the introduction of the Euro
on the dependence between 17 European stock markets during the period 1994–2003. The …