Copula models have emerged as a pivotal tool in modern statistical analysis by enabling researchers to disentangle marginal behaviours from their joint dependency structures. This flexibility is ...

In cross-breeding experiments it can be of interest to see whether there are any synergistic effects of certain genes. This could be by being particularly useful or detrimental to the individual. This ...

This article introduces a graphical goodness-of-fit test for copulas in more than two dimensions. The test is based on pairs of variables and can thus be interpreted as a first-order approximation of ...

This paper explores the impact of elliptical and Archimedean copula models on the valuation of basket default swaps. We employ Monte Carlo simulation, in connection with the copula models, to estimate ...

This paper investigates optimal futures hedge ratios in stock markets. We use univariate skewed t stochastic volatility (SV) models to capture the time-varying (TV) volatility of our data and set up ...