In this paper we provide a review of copula theory with applications to finance. We illustrate the idea on the …

the level of dynamic copulas has the potential for providing improved forecasts and are useful for financial and economic …

conditions: in particular it allows for parameter estimation uncertainty and for the copulas to be nested or non-nested. Monte … copula is favored over Gaussian, Gumbel and Clayton copulas. This suggests that these exchange rate returns are characterized …

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 … copulas may look highly persistent and are useful for financial and economic applications. We first show that Markov processes …

conditions: in particular it allows for parameter estimation uncertainty and for the copulas to be nested or non-nested. Monte … copula is favored over Gaussian, Gumbel and Clayton copulas. This suggests that these exchange rate returns are characterized …

; Semiparametric two-step ; Nonlinear ill-posed inverse ; Mixtures ; Conditional moment restrictions ; Nonparametric endogeneity …-based inference for plug-in PSE estimation of smooth or non-smooth functionals; and (4) root-n asymptotic normality of semiparametric …, semiparametric GARCH, and copula-based multivariate financial models are used to illustrate the general results. -- Nonlinear time …

complicated semi-nonparametric models with (or without) endogeneity and latent heterogeneity. It can easily incorporate prior … information and constraints, often derived from economic theory, such as monotonicity, convexity, additivity, multiplicity …