. In order to describe such situations, copula-based models have been studied during the last year. In this paper, we …

promising class of models are the hierarchical Archimedean copulae (HAC) that allow for non-exchangeable and non … for stock indices the copula parameter changes dynam- ically but the hierarchical structure is constant over time …. Interestingly in our exchange rate example both structure and parameters vary dynamically. -- copula ; multivariate distribution …

, conditional quantiles are specified via hierarchical Archimedean copula. The parameters and structure of this copula are …

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 capturing (multivariate) dynamics in higher order …

smoothed transition regression (LSTR) model where possible threshold endogeneity is addressed based on copula theory. We also …