Gagliardini, Patrick; Gourieroux, Christian - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004
In this paper we provide a convenient econometric framework for the analy-sis of nonlinear dependence in financial applications. We introduce models withconstrained nonparametric dependence, which specify the conditional distrib-ution or the copula in terms of a one-dimensional functional...