2 papers
stat.ME2026
Copula-Based Time Series for Non-Gaussian and Non-Markovian Stationary Processes
Sven Pappert, Harry Joe
In the copula-based approach to univariate time series modeling, the finite dimensional temporal dependence of a stationary time series is captured by a copula. Recent studies inve…
stat.ME2026
Extreme Value Inference for CoVaR and Systemic Risk
Xiaoting Li, Harry Joe
We develop an extreme value framework for CoVaR centered on , the copula-adjusted probability level, or equivalently, the CoVaR on the uniform (0,1) scale. We char…