, conditional quantiles are specified via hierarchical Archimedean copula. The parameters and structure of this copula are …

fundamental characteristic. We compare our empirical findings with a single Gaussian copula, a correlation-weighted average of … Gaussian copulas, the K-copula which directly addresses the nonstationarity of dependencies as a model parameter, and the … skewed Student's t-copula. The K-copula covers the empirical dependence structure on the local scale most adequately, whereas …

promising class of models are the hierarchical Archimedean copulae (HAC) that allow for non-exchangeable and non … for stock indices the copula parameter changes dynamically but the hierarchical structure is constant over time …

copula density. Our methodology extends the work of Wu, Wang, and Walker (2015) by introducing dependence from a covariate in …

promising class of models are the hierarchical Archimedean copulae (HAC) that allow for non-exchangeable and non … for stock indices the copula parameter changes dynam- ically but the hierarchical structure is constant over time …. Interestingly in our exchange rate example both structure and parameters vary dynamically. -- copula ; multivariate distribution …

the use of a copula. Thus, only univariate distribution functions are needed when estimating the individual equations … parallel for the individual equations. Thereafter, the individual posteriors are combined with the copula, so obtaining a joint …

-distance (MD) and maximum-likelihood (ML) estimators for bivariate parametric copulae. In particular, I consider Cramer …-von-Mises-, Kolmogorov-Smirnov- and L1-variants of the CvM-statistic based on the empirical copula process, Kendall's dependence function and … the copula, the sample size or the location of the parameter, maximum-likelihood yields smaller estimation biases at less …

financial theories. Its derived Gaussian copula ostensibly does away with the normality assumptions, only to retain the linear … (Pearson's) correlation measure implicit to said bivariate normal p.d.f. In financial modelling context, the Gaussian copula … which a derived copula density function quite naturally and parsimoniously captures a particular nonlinear dependency …