This paper provides a comparison of the exponential copula Lévy model with the classical Gaussian copula model for the …

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

We consider a new copula method for mixed marginals of discrete and continuous random variables. Unlike the Bayesian … methods in the literature, we use maximum likelihood estimation based on closed-form copula functions. We show with a … using data from the 2013 Household Finance Survey, we show how the copula dependence between income (continuous) and …

copulabased non linear quantile regression known as copula quantile regression (CQR).The discussion of the properties of the …

robust to large innovations. The model also admits a representation as a time-varying heavy-tailed copula which is …

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