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 …

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 …

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 …

We introduce a novel multi-factor Heston-based stochastic volatility model, which is able to
reproduce consistently typical multi-dimensional FX vanilla markets, while retaining the …

In this survey, we review the copula-based input models that are well suited to provide
multivariate input-modeling support for stochastic simulations with dependent inputs …

This paper uses a copula model to investigate the degree and determinants of European
market dependence across 10 industries in 12 Euro zone and 8 non-Euro zone stock …

We introduce a tractable multicurrency model with stochastic volatility and correlated
stochastic interest rates that takes into account the smile in the foreign exchange (FX) market …

Multivariate options are widely used when there is a need to hedge against a number of
risks simultaneously; such as when there is an exposure to several currencies or the need to …

We model the joint risk-neutral distribution of the euro-sterling and the dollar-sterling
exchange rates using option-implied marginal distributions that are connected via a copula …