The purpose of the paper is to investigate the difference between systemic risk and contagion in a system,with particular reference at possible methodologie
We propose a model that can capture the typical features of multivariate extreme events observed in financial time series,namely clustering behavior in magn
Tail order is a notion for quantifying the strength of dependence in the tail of a joint distribution.It can account for a wide range of dependence,ranging
Vine copula models are a very flexible class of multivariate copula models with regard to symmetry and tail dependence for pairs of variables.The full speci