We introduce a statistical test for comparing the predictive accuracy of competing copula specifications in multivariate density forecasts, based on the Kullback-Leibler Information Criterion (KLIC). The test is valid under general conditions: in particular it allows for parameter estimation...

We present a non-parametric tail dependence estimator which arises naturally from a specific regression model. Above that, this tail dependence estimator also results from a specific copula mixture. -- Upper tail dependence ; nonparametric estimation ; copula

Different segments of a population affected by the same policy intervention may have different responses. We study the role of equilibrium effects on explaining these differences. Our case study is the government's extension of guarantees during the Great Recession to certain debt issuers. We...