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

-Clayton copula. We also investigate whether real estate security markets react asymmetrically to the sign of the shocks. Our results …

MGARCH and standard dynamic copula models are often of little usefulness in such cases. In this paper, we apply a methodology … called the pair-copula decomposition to model the joint conditional distribution of the returns on stocks constituting the …

Several copula goodness-of-fit approaches are examined, three of which are proposed in this paper. Results are …

. We show that by modeling the conditional dependence structure using copulae, we can detect changes in the dependence …

is the copula philosophy, where the dependency structure is treated entirely separately from marginals. In financial … applications one often needs to work with combinations of marginals of various distributional types, and the copula philosophy is … very attractive as it copes well with heterogeneous marginals. However, with some notable exceptions, the copula approach …

The authors provide bibliometric evidence to illustrate the development of copula theory in mathematics, statistics …

We introduce a general approach to nonlinear quantile regression modelling based on the copula function that defines … the dependence function (or copula). We then deduce the form of the (invariably nonlinear) conditional quantile … relationship implied by the copula. This can be achieved with arbitrary distributions assumed for the marginals. Some properties of …