37 citations · 38 across the 3 of their papers we have counts for
3 papers
Bayesian nonparametric copulas with tail dependence
Maria Concepción Ausín, Maria Kalli
We introduce a novel bivariate copula model able to capture both the central and tail dependence of the joint probability distribution. Model that can capture the dependence struct…
Structured factor copulas for modeling the systemic risk of European and United States banks
Hoang Nguyen, Audronė Virbickaitė, M. Concepción Ausín +1
In this paper, we employ Credit Default Swaps (CDS) to model the joint and conditional distress probabilities of banks in Europe and the U.S. using factor copulas. We propose multi…
Bayesian Inference Methods for Univariate and Multivariate GARCH Models: a Survey
Audronė Virbickaitė, M. Concepción Ausín, Pedro Galeano
This survey reviews the existing literature on the most relevant Bayesian inference methods for univariate and multivariate GARCH models. The advantages and drawbacks of each proce…