A copula model with flexibly specified dependence structure can be useful to capture the complexity and heterogeneity in economic and financial time series. However, there exists little methodological guidance for the specification process using copulas. This paper contributes to fill this gap...

A new regularization method for regression models is proposed. The criterion to be minimized contains a penalty term which explicitly links strength of penalization to the correlation between predictors. As the elastic net, the method encourages a grouping effect where strongly correlated...