A prominent challenge when drawing causal inference using observational data is the ubiquitous presence of endogenous regressors. The classical econometric method to handle regressor endogeneity requires instrumental variables that must satisfy the stringent condition of exclusion restriction,...

We construct a parsimonious test of constancy of the correlation matrix in the multivariate conditional correlation GARCH model, where the GARCH equations are time-varying. The alternative to constancy is that the correlations change deterministically as a function of time. The alternative is a...

Copulas are full measures of dependence among random variables. They are increasingly popular among academics and practitioners in financial econometrics for modeling comovements between markets, risk factors, and other relevant variables. A copula's hidden dependence structure that couples a...