This paper generalizes the locally optimal linear rank test based on copula from Shirahata (1974) resp. Guillén and …

directions are linked through a 2m-dimensional copula. The approach is detailed in the case of a bivariate decomposition. We …

Copula modelling is a popular tool in analysing the dependencies between variables. Copula modelling allows the … investigation of tail dependencies, which is of particular interest in risk and survival applications. Copula modelling is also of … “boom” or “bust”. Bivariate copula modelling has a rich variety of copulas that may be chosen to represent the modelled …

based on the conditional mutual information, a general measure of dependence between lagged variables. In caseof rejecting … the null hypothesis, this readily provides insights into the lags through which the dependence arises.The conditional …