Discussion of “ Copulas : Tales and facts , ” by Thomas Mikosch

Copulas: Tales and Facts

When I started writing the paper [19] in 2003 a Google search of the word “copula” gave 10,000 responses. In September 2005 the same search gives 650,000 responses. There is an explosion of activity. What is going on? Many of the web-sites found in the Google search are related to mathematical finance, statistics, extreme value theory, and risk management. Everybody who opens any journal on sto...

How to model multivariate extremes if one must?

In this paper we discuss some approaches to modeling extremely large values in multivariate time series. In particular, we discuss the notion of multivariate regular variation as a key to modeling multivariate heavy-tailed phenomena. The latter notion has found a variety of applications in queuing theory, stochastic networks, telecommunications, insurance, finance and other areas. We contrast t...

A note on "Generalized bivariate copulas and their properties"

In 2004, Rodr'{i}guez-Lallena and '{U}beda-Flores have introduced a class of bivariate copulas which generalizes some known families such as the Farlie-Gumbel-Morgenstern distributions. In 2006, Dolati and '{U}beda-Flores presented multivariate generalizations of this class. Then in 2011, Kim et al. generalized Rodr'{i}guez-Lallena and '{U}beda-Flores' study to any given copula family. But ther...

Long Range Dependence Eeects and Arch Modelling

Questions of Quality sec 1.qxd

What are fairy tales? Folk tales are stories orally passed down from generation to generation that are modified as they are told to remain current in their contextual frame. Folk tales are categorized as pour quoi tales, tall tales, or fairy tales. Pour quoi tales are stories that answer “why” or have a moral, such as fables. Tall tales are characterized by legends, and communicate historical f...