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decomposed into its n marginal distributions, and a copula, which completely describes the dependence between the n variables. We … evidence of a structural break in the conditional copula following the introduction of the euro …
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The unprecedented fiscal and monetary policy responses during the COVID-19 crisis have increased uncertainty about inflation. During crises periods, the strength of the transmission of inflation uncertainty shocks from one country to another tends to intensify. This paper examines empirical...
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the weighting of lagged squared innovations for the estimation of future correlations and volatilities. When we account … representation as a time-varying heavy-tailed copula which is particularly useful if the interest focuses on dependence structures …
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