Copulas: An Open Field for Risk Management

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Estimation and Model Selection of Copulas with an Application to Exchange Rates (2007, methodology): “Another application suggested is modeling autoregressive dynamic processes 1 using copulas to capture the time dependence in one variable rather than the dependence between two or more variables as in Bouyé et al. (2001).”
Goodness-of-fit tests for parametric families of Archimedean copulas (2008, background): “Another example of an application in finance is Bouyé et al. (2001), who review different financial problems and show how these could be solved by copulas. Cherubini et al. (2004) present a collection of existing strategies for the use of the copula methodology in empirical finance. Frees and Valdez”
MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE a (2006, unknown): “5 See Frees et al. (1996), Bouyé et al. (2000a, 2000b), Cherubini and Luciano (2001, 2002), Costinot et al. (2000), Li (2000), Fermanian and Scaillet (2003), Embrechts et al. (2001), Granger et al. (forthcoming), Frey and McNeil (2001), Rockinger and Jondeau (2001), Sancetta and Satchell (2001),…”