Korhonen and Peresetsky (2013) suggested a new Kalman-filter type model of financial markets to extract a global stochastic trend from discrete non-synchronous data on daily stock market index returns from different markets. We extend this model to allow the correlation between increments of...

This article contains the second part of the consultation series on copula functions and their use in modeling multidimensional probability distributions. It describes pair-copula functions (including the concept of canonical and D-vines), alternative measures of dependence useful to summarize...

The final part of the consultation series on copula functions is devoted to the description of copula selection methods to choose the copula model that provides the best fit for the empirical data at hand, as well as to the description of copula evaluation methods by using goodness-of-fit tests.

The most important properties of p-variate distributions on the hypercube whose univariate marginals are uniformly distributed on [0; 1] are discussed. These distributions, also called p-copulas, have become a popular tool in order to study financial markets, macroeconomics and other fields. The...

Problems which are related to copula functions, their properties, selection methods for specific baseline data, evaluation, and possible applications are extremely sparingly discussed in the world literature, and are almost not discussed at all in the Russian literature. At the same time, we...

The publication is a part of the consultation series our journal offers to the readers on those econometric methods that are rela-tively new and rarely described in the Russian literature on the subject. Here we are presenting or, to be more exact, describing how to analyze the vector...