This paper proposes a dynamic multi-factor copula for use in high-dimensional time series applications. A novel feature of our model is that the assignment of individual variables to groups is estimated from the data, rather than being pre-assigned using SIC industry codes, market capitalization...

Correct specification of a conditional quantile model implies that a particular conditional moment is equal to zero. We nonparametrically estimate the conditional moment function via series regression and test whether it is identically zero using uniform functional inference. Our approach is...