Pair-Copulas Modeling in Finance

Construction of Leading Economic Index for Recession Prediction

an interpretation of recession probability. It can be proved to be optimal to maximize the predictive accuracy as measured by the receiver operating characteristic (ROC) curve. The ROC curve is de...

Extreme Value Theory and mixed Canonical vine Copulas on

by Joe (1996) and further extended by Bedford and Cooke (2001, 2002) and Kurowicka and Cooke (2006). In particular, Bedford and Cooke realized that there are many possible ways to decompose a d-dim...

An integrated risk management model for an oil and

Global burden of disease attributable to illicit drug use and

University of California, Berkeley

Median Response to Shocks: A Model for VaR Spillovers in East Asia

The evolution of the Afro-Portuguese copula sã John M. Lipski

Multivariate Models, PCA, ICA and ICS

a survey on continuous elliptical vector distributions

Deliverable 5.1 Report on Available Products and Passive

Invariant coordinate selection for multivariate data analysis

Financial innovation and bank behavior