Copulae and Multivariate Probability Distributions in Finance (Hardcover)

Preface Chris Adcock, Alexandra Dias and Mark Salmon  1. The Advent of Copulas in Finance Christian Genest, Michel Gendron and Michael Bourdeau-Brien  2. Testing for structural changes in exchange rates’ dependence beyond linear correlation Alexandra Dias and Paul Embrechts  3. Models for construction of multivariate dependence ? a comparison study Kjersti Aas and Daniel Berg  4. Dependency without copulas or ellipticity William T. Shaw and Asad Munir  5. Copula goodness-of-fit testing: an overview and power comparison Daniel Berg  6. Asymmetric dependence patterns in financial time series Manuel Ammann and Stephan Suss  7. Dynamic copula quantile regressions and tail area dynamic dependence in Forex markets Eric Bouye and Mark Salmon  8. Risk and return of reinsurance contracts under copula models Martin Eling and Denis Toplek  9. Pricing bivariate option under GARCH-GH model with dynamic copula: application for Chinese market Dominique Guegan and Jing Zang