The inability of the Gaussian copula to describe the tail dependence among risks has been sharply criticized since the 2008 financial crisis. In this paper, we extend the classic Gaussian copula to the distorted GAB copula with the distorted mix method. Similar with the Gaussian copula, the...

There is increasing demand for models of time-varying and non-Gaussian dependencies for mul- tivariate time-series. Available models suffer from the curse of dimensionality or restrictive assumptions on the parameters and the distribution. A promising class of models are the hierarchical...

In this paper, we propose a new approach to estimating sample selection models that combines Generalized Tukey Lambda (GTL) distributions with copulas. The GTL distribution is a versatile univariate distribution that permits a wide range of skewness and thick- or thin-tailed behavior in the data...