. In order to describe such situations, copula-based models have been studied during the last year. In this paper, we …

specified gravity equations are estimated by Copula-based Markov switching seemingly unrelated regression approach. The best … Student's t copula is applied for joint distribution. Analyzing the bilateral trade flow is separated into two situations …

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 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 …

We consider the problem of estimating the marginals in case there is knowledge on the copula. If the copula is smooth … convergence n-1/2, but a smaller asymptotic variance. In this paper we show that smoothness assumptions on the copula are … necessary: we construct both a (non-smooth) copula and, exploiting the information our copula provides, estimators of the …