Conditional dependence is expressed as a projection map in the trivariate copula space. The projected copula, its … sample counterpart and the related process are defined. The weak convergence of the projected copula process to a tight … centered Gaussian Process is obtained under weak assumptions on copula derivatives. …

This paper discusses the copula-based approach of a bivariate binary choice model. We derive the marginal effects of …

copula models. Thirteen copula models with different types of dependence structures and time-varying dependence parameters … are considered. We find that in general the MALM copula fits our sample data best based on AIC criterion. We find that … the nonexchangeable MALM copula, the asymmetry in the propagation of crisis (bubble) between crude oil and refined product …

We study the optimal transport between two probability measures on Rn sharing the same copula C. We investigate the …

bivariate copula families. In general, for nonnegative dependence, there are three levels of strength of dependence in the tails … Gumbel, respectively, and for copula families with different tail behavior. …

Measures of association are suggested between two random vectors. The measures are copula-based and therefore invariant …

This paper aims at presenting the research results of revealing a structural shift in copula-models of multivariate …

in stationary Markov chains using copula functions. We obtain conditions that imply a geometric rate of mixing in models … and tail dependence in the copula function. Rho-mixing, which implies a geometric rate of alpha-mixing, is obtained under … a much weaker condition. We verify one or both of these conditions for a range of parametric copula functions that are …

dependence structure. Parameters of copulas are estimated using Hamilton filter adopted to copulas. The copula based on regime …