copula representation of multivariate distributions and the use of the marginal quantile function of the data. The procedure …

in the dependence structure. Recently, two methods to analyze such changes using copula have been proposed. The first … approach only investigates the changes of copula parameters while ignoring the possibility of the changing for the copula … family. The other one stresses to inspect any change for copulas by determining the best copula on every subsamples divided …

employing the copula approach to statistical modelling, the joint behaviour of U and V can be parameterised thereby allowing the … copula approach are given: the first is algebraic (the Logistic-Exponential stochastic frontier model with margins bound by … the Fairlie-Gumbel-Morgenstern copula) and the second and third are empirically oriented, using data sets well-known in …

This paper studies the estimation of a class of copula-based semiparametric stationary Markov models. These models are … characterized by nonparametric invariant (or marginal) distributions and parametric copula functions that capture the temporal … simulate, and can be expressed as semiparametric regression transformation models. One advantage of this copula approach is to …

copula-based perspective. The authors employ various copula functions to examine the degrees of dependence on symmetric and …

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

) of the fitted skewed-t distributions is computed using the symmetrized Joe–Clayton copula. The joint PDF is then utilized …

is used for innovations. As the association between the underlying assets may vary over time, the dynamic copula approach …-GH model with time-varying copula differ substantially from the prices implied by the GARCH-Gaussian dynamic copula model …

Heteroskedastic (GARCH) process. As the association between the underlying assets may vary over time, the dynamic copula with time …-varying parameter offers a better alternative to any static model for dependence structure and even to the dynamic copula model … Shanghai and Shenzhen Stock Composite Indexes. Results show that the option prices obtained by the time-varying copula model …