We introduce a statistical test for comparing the predictive accuracy of competing copula specifications in … copula is favored over Gaussian, Gumbel and Clayton copulas. This suggests that these exchange rate returns are characterized …

representation as a time-varying heavy-tailed copula which is particularly useful if the interest focuses on dependence structures …

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 …