Copulas, tail dependence and applications to the analysis of financial time series

DOI10.1007/978-3-642-39165-1_3zbMATH Open1277.91146OpenAlexW84196524MaRDI QIDQ2864231FDOQ2864231

Authors: Fabrizio Durante 

Publication date: 6 December 2013

Published in: Aggregation Functions in Theory and in Practise (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-39165-1_3

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Mathematics Subject Classification ID

Economic time series analysis (91B84)

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• Copula-GARCH time-varying tail dependence
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• A measurement of affluence and poverty interdependence across countries: evidence from the application of tail copula
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• Limiting dependence structures for tail events, with applications to credit derivatives
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• Interplay between distributional and temporal dependence. An empirical study with high-frequency asset returns
• DETECTING AND MODELING TAIL DEPENDENCE
• Paths and indices of maximal tail dependence

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