File(s) under permanent embargo
Reason: This item is currently closed access.
Change-point analysis for dependence structures in finance and insurance
chapterposted on 21.04.2016, 10:16 by Alexandra Da Costa Dias, P. Embrechts
Over the recent years, both in finance and insurance, the modelling of dependence beyond linear correlation has become a key area of research. The notion of copula has been used with success in order to model these more general dependence concepts. We will discuss changes in dependence structures by using change-point techniques for specific parametric copula families. Besides some basic theory, some applied examples will be presented.