Several copula goodness-of-fit approaches are examined, three of which are proposed in this paper. Results are …

. We show that by modeling the conditional dependence structure using copulae, we can detect changes in the dependence …

is the copula philosophy, where the dependency structure is treated entirely separately from marginals. In financial … applications one often needs to work with combinations of marginals of various distributional types, and the copula philosophy is … very attractive as it copes well with heterogeneous marginals. However, with some notable exceptions, the copula approach …

The authors provide bibliometric evidence to illustrate the development of copula theory in mathematics, statistics …

We introduce a general approach to nonlinear quantile regression modelling based on the copula function that defines … the dependence function (or copula). We then deduce the form of the (invariably nonlinear) conditional quantile … relationship implied by the copula. This can be achieved with arbitrary distributions assumed for the marginals. Some properties of …

is used for innovations. As the association between the underlying assets may vary over time, the dynamic copula approach …-GH model with time-varying copula differ substantially from the prices implied by the GARCH-Gaussian dynamic copula model …