Many proposals have been made recently for goodness-of-fit testing of copula models. After
reviewing them briefly, the authors concentrate on “blanket tests”, ie, those whose …

Several copula goodness-of-fit approaches are examined, three of which are proposed in
this paper. Results are presented from an extensive Monte Carlo study, where we examine …

We begin by reviewing the statistical framework of information theory as applicable to
neuroimaging data analysis. A major factor hindering wider adoption of this framework in …

This paper models dependence with switching-parameter copulas to study financial
contagion. Using daily returns from five East Asian stock indices during the Asian crisis, and …

This paper investigates financial contagion in a multivariate time-varying asymmetric
framework, focusing on four emerging equity markets, namely Brazil, Russia, India, China …

We study the conditional dependence structure between crude oil prices and US dollar
exchange rates using a copula-GARCH approach. Various copula functions of the elliptical …

We use a copula approach to investigate the effect of uncertainty on crude-oil returns. Using
copulas to construct multivariate distributions of time-series data permit the calculation of the …

Market Risk Analysis is the most comprehensive, rigorous and detailed resource available
on market risk analysis. Written as a series of four interlinked volumes each title is self …

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 …

In testing that a given distribution P belongs to a parameterized family P, one is often led to
compare a nonparametric estimate An of some functional A of P with an element Aθn …