Nonlinear Term Structure Dependence: Copula Functions, Empirics, and Risk Implications

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Multi-period hedge ratios for a multi-asset portfolio when accounting for returns comovement (2008, background): “Examples of recent applications of copulas in finance are Cherubini and Luciano (2002, 2003a, b), Embrechts, Lindskog and McNeil (2003), Giesecke (2004), Junker, Szimayer, and Wagner (2006), Pachenko (2005), and Rosenberg and Schuermann (2006).”
A new time-varying optimal copula model identifying the dependence across markets (2017, methodology): “Early studies mainly utilized the static or single copula method, and the research questions focused on risk analyses of security markets, such as equity, foreign exchange, bonds or their derivatives (Junker et al. 2006; Miller and Liu 2006; Kole et al. 2007; Ning 2010).”
Estimation of VAR Using Copula and Extreme Value Theory (2006, methodology): “The goodness-of-fit of copula models can be assessed by comparing the empirical and estimated copulae; see Junker, Szimayer and Wagner [2006] .”
A new copula approach for high-dimensional real world portfolios (2012, background): “[24], Kang [25], Kat and Palaro [26], Kole et al.”
Uncertainty and Crude Oil Returns (2016, methodology): “As documented, for example, by Jondeau and Rockinger (2006a), Junker et al. (2006), Luciano and Marena (2003), and McNeil et al. (2005), the widely used measure of dependence, the Pearson correlation coeffi cient, may not appropriately describe the type of dependence between returns and, as a…”