We consider a new copula method for mixed marginals of discrete and continuous random variables. Unlike the Bayesian … methods in the literature, we use maximum likelihood estimation based on closed-form copula functions. We show with a … using data from the 2013 Household Finance Survey, we show how the copula dependence between income (continuous) and …

semiparametric model is based on the parametric conditional copula and nonparametric conditional marginals. To avoid the curse of … conditional kernel smoothers based on local linear estimator. The semiparametric copula model is compared with the parametric DCC …

analysis and copula theory. First we consider the case of the complete markets followed by the general case of incomplete …

copulabased non linear quantile regression known as copula quantile regression (CQR).The discussion of the properties of the …

robust to large innovations. The model also admits a representation as a time-varying heavy-tailed copula which is …