A directory of CoVaR values for different families of copulas is provided.doi:10.1016/j.spl.2016.09.005M. BernardiF. DuranteP. JaworskiElsevier B.V.Statistics & Probability LettersBernardi, M., Durante, F., Jaworski, P., 2017. Covar of families of copulas....
还是 M.Bernardi，意大利的一位教授，他的文章叫 《CoVaR of families of copulas》，发表在 《Statisti...
bivariate copula families are included for bivariate analysis. It provides functionality of elliptical (Gaussian and Student t) as well as Archimedean (Clayton, Gumbel, Frank, Plackett, BB1, SCJ, rotated clayton and rotated Gumbel) copulas to cover a large bandwidth of possible dependence ...
The results are illustrated with examples using the extreme value, conic and truncation invariant families of bivariate tail-dependent copulas.doi:10.1515/demo-2017-0001Piotr JaworskiInstitute of Mathematics, University of Warsaw, PolandDe Gruyter OpenDependence Modeling...
bivariate copula families are included for bivariate analysis. It provides functionality of elliptical (Gaussian and Student t) as well as Archimedean (Clayton, Gumbel, Frank, Plackett, BB1, SCJ, rotated clayton and rotated Gumbel) copulas to cover a large bandwidth of possible dependence ...
Our Copula CoVaR approach provides simple, closed-form expressions for various definitions of CoVaR for a broad range of copula families and allows the CoVaR of an institution to have time-varying exposure to its VaR. We extend this approach to estimate other 'co-risk' measures such as ...
The aim of this paper is to study the dependence structure between the real estate and the banking sectors in China. Various time﹙arying symmetric and asymmetric copula functions of the elliptical and Archimedean families are used to model the underlying dependence structure. Furthermore, it ...