dynamic copula results show that the time-varying t copula achieves the best performance, which means the symmetry dynamic t … dependence structure between the U.S. and Chinese stock market. The estimated static copula results for the entire period show … that the SJC copula performs best, indicating asymmetric characteristics of the tail dependence structure. The estimated …

consistent framework. Credit spreads are modelled by geometric Brownian motions with a dependence structure powered by a t-copula …

We propose a new goodness-of-fit test for copulas, based on empirical copula processes and nonparametric bootstrap … counterparts. The standard Kolmogorov-Smirnov type test for copulas that takes the supremum of the empirical copula process indexed … by orthants is extended by test statistics based on the supremum of the empirical copula process indexed by families of …

distributions, respectively. Several copulas are tested to determine the best data fitted copula. Droughts, defined using the …. The copula fitting results for drought duration and severity are quite satisfactory. The bivariate drought analyses …, including the joint probabilities and bivariate return periods, based on the derived copula-based joint distribution are also …

This paper presents a novel time-adaptive quantile-copula estimator for kernel density forecast and a discussion of how …

with Copula. To begin with the Standard Stochastic Frontier Model (SFA), it is generally formulated hypothesis in order to … disturbances) of the composite error W=V-U . In addition to applying the copula approach to statistical model, the Standard … Frontier with copula are less restrictive than the Standard Stochastic frontier and also more attractive to statistical grounds …

will certainly be drown if a more classes of Copula functions can be used. …