This study investigates advanced portfolio optimization techniques that integrate copula functions and GARCH models to enhance risk-adjusted performance in the European stock market. Traditional ...

For multivariate distributions in the domain of attraction of a max-stable distribution, the tail copula and the stable tail dependence function are equivalent ways to capture the dependence in the ...

As global financial markets become increasingly interconnected, accurately modelling correlations between assets is essential. Traditional models often assume static correlations, which fail to ...

This set of Matlab (TM) files provides the functions needed to estimate the best copula, given a set of copulas and fractiles. The method is described in the paper Huard, D., Évin, G. and Favre, A-C.

ABSTRACT: In this paper, we explore the dynamic relationship between exchange rates, natural gas, and crude oil prices using the wavelet vine copula approach. The vine copula method offers the ...