copula. The copula used is such that it allows for the presence of lower tail-dependence and for asymmetric taildependence …, and that it encompasses the normal or t-copula. The model is estimated using bivariate data on a set of European stock …

of symmetric (Gaussian copula) or asymmetric (Clayton copula) type. Finally, using 13 EU and US assets, we implement the …

This paper considers efficient estimation of copula-based semiparametric strictly stationary Markov models. These … models are characterized by nonparametric invariant distributions and parametric copula functions; where the copulas capture … maximum likelihood estimation (MLE) for the copula parameter, the invariant distribution and the conditional quantiles. We …

global financial crisis. We investigate the evolution of the correlations using different copula models: the standard … Gaussian, the NIG, the double-t, and the Gumbel copula model. After calibration of these models one obtains a time varying …