income and wealth inequality in five OECD countries using comparable household-level survey data. We focus on the dependence … social inequality than the traditional 'income only' approach. We find that cross-country variations in the dependence … parameter effectively accounts only for a small fraction of cross-country differences in a bivariate measure of inequality. The …

income and wealth inequality in five OECD countries using comparable household-level survey data. We focus on the dependence … social inequality than the traditional 'income only' approach. We find that cross-country variations in the dependence … parameter effectively accounts only for a small fraction of cross-country differences in a bivariate measure of inequality. The …

density into its marginals and a copula term capturing the dependence structure across countries. The GVAR outperforms …

We propose a novel copula approach to producing density forecasts of economic aggregates combining models using … disaggregate data. Our copula approach is more flexible compared to existing techniques, because it is applicable to any … consumer price index for underlying inflation (CPI-ATE). We find that the copula approach compares well to alternative methods …

- and gas-related firms. Based on copula approach and the sample data of domestic giant oil- and gas firms from 2009 to 2019 …

stablecoins (USDT and USDC). We examine the copula particle swarm optimization (CPSO) portfolio strategy against three other …

distribution and the Farlie-Gumbel-Morgenstern (FGM) copula-based bivariate exponential distribution. The reinsurance premium paid …

We introduce a copula-based dynamic model for multivariate processes of (non-negative) high-frequency trading variables … multiplicative error model we map the resulting residuals into a Gaussian domain using a Gaussian copula. Based on high … proposed copula-based transformation is supported by the data and allows disentangling (multivariate) dynamics in higher order …

distribution functions on Rd + defined via a copula. Maximum likelihood estimation is based on the assumption of constant copula … suggest to test for time-varying dependence by calibrating a time-varying copula model and to reestimate the VMEM based on …