Copula theory provides a unifying framework for modelling the dependence structure among multiple random variables independently of their marginal distributions. At its core is the decomposition of ...

Principles of Copula Theory explores the state of the art on copulas and provides you with the foundation to use copulas in a variety of applications. Throughout the book, historical remarks and ...

Copula-based drought characterisation integrates the probabilistic relationships among multiple drought attributes—most commonly severity and duration—into a unified modelling framework. By separating ...

We use extreme value theory and copula theory to model multivariate daily return distributions of hedge fund strategy indexes. Multivariate outliers in time series of hedge fund strategies are ...