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Copulas are a general tool to construct multivariate distributions and to investigate dependence structure between random variables. However, the concept of copula is not popular in Finance. In this paper, we show that copulas can be extensively used to solve many financial problems. ∗Corresponding author: Groupe de Recherche Opérationnelle, Bercy-Expo —(More)
Minimum variance and equally-weighted portfolios have recently prompted great interest both from academic researchers and market practitioners, as their construction does not rely on expected average returns and is therefore assumed to be robust. In this paper, we consider a related approach, where the risk contribution from each portfolio components is(More)
We introduce a general approach to nonlinear quantile regression modelling that is based on the specification of the copula function that defines the dependency structure between the variables of interest. Hence we extend Koenker and Bassett’s [1978] original statement of the quantile regression problem by determining a distribution for the dependent(More)
A general methodology for time series modelling is developed which works down from distributional properties to implied structural models including the standard regression relationship. This general to speci...c approach is important since it can avoid spurious assumptions such as linearity in the form of the dynamic relationship between variables. It is(More)
This paper proposes a methodology to provide risk measures for portfolios during extreme events. The approach is based on splitting the multivariate extreme value distribution of the assets of the portfolio into two parts: the distributions of each asset and their dependence function. The estimation problem is also investigated. Then, stress-testing is(More)
Après l'invasion de la Nouvelle-Calédonie en 1985 parHeteropsylla cubana Crawford, psylle ravageur de la légumineuseLeucaena leucocephala (Lam.) de Wit, le coccinellide auxiliaireOlla v-nigrum Mulsant a été introduit depuis Tahiti, au début de 1987, et ses principaux paramètres biologiques ont été étudiés en conditions contrôlées. A 25,7°C (24,6/26,8) la(More)
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