There is increasing demand for models of time-varying and non-Gaussian dependencies for multivariate time-series. Available models suffer from the curse of dimensionality or restrictive assumptions on the parameters and the distribution. A promising class of models are the hierarchical...

Several studies on heritability in twins aim at understanding the different contribution of environmental and genetic factors to specific traits. Considering the National Merit Twin Study, our purpose is to correctly analyse the influence of the socioeconomic status on the relationship between...

In this paper we develop a novel semi-nonparametric panel copula model with external covariates for the study of wage rank dynamics. We focus on nonlinear dependence between the current and lagged worker's ranks in the wage residuals distribution, conditionally on individual characteristics. We...

As the effect of increasing speed of the information spreading and ease in the capital moving, interdependencies between markets and market participants, both within and across national boundaries, have strengthened during last few decades. Closer linkages between international markets can...

This paper extends the analysis of bivariate seemingly unrelated (SUR) Tobit model by modeling its nonlinear dependence structure through copulas. The capability in coupling together the different marginal distributions allows the flexible modeling for the SUR Tobit. The ability in capturing...