Inhomogenous Dependence Modelling with Time Varying Copulae

(Katja Ignatieva, B1)
  • Estimation of time dependent volatility via local change point analysis by D. Mercurio, V. Spokoiny, Annals of Statistics 32, 577-602, 2004
    (pdf)

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  • Value-at-Risk Calculations with Time-varying Copulae by E.Giacomini, W.Härdle Proceedings 55th International Statistical Institute, Sydney 2005
    (pdf)

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  • Modelling Dependence with Copulas and Applications to Risk Management by P. Embrechts, Alexander McNeil, working paper 2001:
    http://www.defaultrisk.com/pp_corr_19.htm

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    Kontakt: Katja Ignatieva, email