Priyanshi Gupta, Sanjay Sehgal, Asymmetric Dynamic Conditional Copula Correlation and Fundamental Determinants of Interest Rate Comovement, Journal of Economic Integration, Vol. 34, No. 4 (December ...

Copula: A function that couples univariate marginal distribution functions to form a multivariate distribution, ... A regression technique that estimates conditional quantile functions, ...

We also provide efficient simulation algorithms using importance sampling for the normal and t - copula dependence structure to quantify risk measures, supply-at-risk and conditional supply-at-risk.

We introduce a multivariate generalized autoregressive conditional heteroskedasticity (GARCH) copula model to describe joint dynamics of overnight and daytime returns for multiple assets. The ...

I’ve been reading about Wall Street’s fabulous Gaussian copula function for some time, but aside from a vague notion that it was a rocket science method of measuring risk, I’ve never had the ...

MacKenzie is a very smart sociologist, who understands quants and copula functions much more deeply than I ever did. (And, like most journalists, I forgot nearly all of what I ever knew about them ...