dependence. It includes the Spearman copula and a specific Fréchet copula as special cases. Some properties and a generalized …

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

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

-dependence coefficients from the copula-based approach are applied. The analysis period covered 2007 until 2019. The period of the COVID-19 …

This paper considers efficient estimation of copula-based semiparametric strictly stationary Markov models. These … models are characterized by nonparametric invariant distributions and parametric copula functions; where the copulas capture … maximum likelihood estimation (MLE) for the copula parameter, the invariant distribution and the conditional quantiles. We …

In this paper we construct a copula based on the multivariate t-distribution with vector degrees of freedom parameter …, which possesses significant advantages over the copula based on the standard multivariate t-distribution. We derive the … standardized version of this copula, which is simpler from the computational viewpoint. As the application of the standardized t-copula …

of returns across seven GCC stock markets over the period 2004-2013 using copula models. The results of the marginal … models indicate strong volatility persistence in all the seven equity markets. The results from the copula models indicate …