Lecture 24

21 Outubro 2026, 13:30 • José Pedro Gaivão

Measures of dependence (concordance). Tail dependence. 

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Lecture 23

21 Outubro 2026, 08:30 • José Pedro Gaivão

Fundamental properties of copulas (Fréchet–Hoeffding bounds; densities, conditional distributions and invariance; the survival copula). Families of copulas: Archimedean copulas.

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Lecture 22

19 Outubro 2026, 10:00 • José Pedro Gaivão

Chapter 4: motivation. Copulas and Sklar's theorem. Examples. 

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Lecture 21

14 Outubro 2026, 13:30 • José Pedro Gaivão

Exercises from Chapter 2.  Introduction to Copulas.

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Lecture 20

14 Outubro 2026, 08:30 • José Pedro Gaivão

 Extreme value theory: the distribution of the maximum, max-stability, the Generalized Extreme Value distribution. The Fisher–Tippett–Gnedenko theorem; generalized Pareto distributions and stability of excesses.

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