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arXiv research

A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.

168,742 papers · 148 categories

Trend · papers per month

count% of corpus
0111 · May 201919922001200920172026
3 results for “copula-DCC-GARCH”
A tail dependence-based MST and their topological indicators in modelling systemic risk in the European insurance sectorq-fin.ST

New approach uses MST and copula-DCC-GARCH for systemic risk analysis in European insurance sector.

problem Analyzing systemic risk in European insurance sector through indirect connections.
method Combining copula-DCC-GARCH model and Minimum Spanning Trees (MST) for interlinkage dynamics analysis.
result Proposed approach useful for systemic risk analysis in insurance sector, with MST topological indicators as predictors.
systemic riskEuropean insuranceMSTcopula-DCC-GARCHtail dependence
2020-01-18abs ↗pdf ↗
Copula Analysis of Risk: A Multivariate Risk Analysis for VaR and CoVaR using Copulas and DCC-GARCHq-fin.RM

Study uses copulas and DCC-GARCH for multivariate risk analysis of VaR and CVaR.

problem Multivariate risk analysis for Value at Risk (VaR) and Conditional Value at Risk (CoVaR).
method Copulas and Dynamic Conditional Correlation (DCC)-GARCH models applied to historical financial data.
result Comparison of different copula families for goodness-of-fit and effectiveness.
Multivariate RiskVaRCoVaRCopulasDCC-GARCH
2025-05-11abs ↗pdf ↗