copula models. The importance of accounting for time-variation is emphasized in the context of the Basel traffic light system … terms of in-sample and out-of sample valuation is the dynamic Student-t-Clayton mixture copula, followed by the dynamic … Student-t copula, and the dynamic Gaussian-Clayton mixture. In comparison to the multivariate normal model, the dynamic …

representation as a time-varying heavy-tailed copula which is particularly useful if the interest focuses on dependence structures …

horizons. The model uses advanced data handling methods combined with copula models, resulting in improved Energy Scores and …

This paper introduces a copula based multivariate rank test for independence extending existing approaches from … literature to p dimensions. Then, a multiparametric p-dimensional generalization of the FGM copula is provided that can model the … copulas. The independence copula is nested in this family if and only if every parameter is zero. In this case, a popular way …

regime. Here, an alternative is proposed, where nonlinear serial and cross-sectional dependence is captured by a copula model …. The copula defines a multivariate time series on the unit cube. A drawable vine copula is employed, along with a … based on model averages over parsimonious representations of the vine copula. The model average estimates are shown to be …