A general methodology for time series modelling is developed which works down from distributional properties to implied structural models including the standard regression relationship. This general to specific approach is important since it can avoid spurious assumptions such as linearity in...

This paper aims to provide an introductory review of copulae and their potential application finance, in particular in capturing the dependence between financial assets that follow non-gaussian distributions and hence for modelling credit risk, pricing options and portfolio design. We briefy...

We introduce a general approach to nonlinear quantile regression modelling based on the copula function that defines the dependency structure between the variables of interest. Hence we extend Koenker and Bassett's [1978] original statement of the quantile regression problem by determining a...