While the Generalized Error Distribution (GED) has been used quite extensively in time series applications and has demonstrated a sound flexibility in the estimation process, there is so far no attempt to use this function in the construction of Copulas. Copulas are probability functions that...

The General Error Distribution (GED) has been extensively used in time series econometrics applications, due to its great flexibility in the estimation of financial stylized facts. However, there has been no attempt to employ this statistical distribution in the construction of copulas. Copulas...