Contributions to Static and Time-varying Copula-based Modeling of Multivariate Association W. Vogel & M. Büttner GmbH knowledge management and applications

knowledge management and applications

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Contributions to Static and Time-varying Copula-based Modeling of Multivariate Association W. Vogel & M. Büttner GmbH knowledge management and applicationsPutting a particular emphasis on nonparametric methods that rely on modern empirical process techniques, the author contributes to the theory of static and time varying stochastic models for multivariate association based on the concept of copulas. These functions enable a profound understanding of multivariate association, which is pivotal for judging whether a large set of risky assets entails diversification effects or aggravates risk from an