This paper introduces a copula based multivariate rank test for independence extending existing approaches from … literature to p dimensions. Then, a multiparametric p-dimensional generalization of the FGM copula is provided that can model the … copulas. The independence copula is nested in this family if and only if every parameter is zero. In this case, a popular way …

We propose a novel copula approach to producing density forecasts of economic aggregates combining models using … disaggregate data. Our copula approach is more flexible compared to existing techniques, because it is applicable to any … consumer price index for underlying inflation (CPI-ATE). We find that the copula approach compares well to alternative methods …

We propose a new approach to evaluating copula-based multivariate density forecasts. Employing Hansen’s SPA test and … multivariate joint and the univariate marginal distribution. Applying the approach to exchange rate data, we show the Frank copula …

copula models. The importance of accounting for time-variation is emphasized in the context of the Basel traffic light system … terms of in-sample and out-of sample valuation is the dynamic Student-t-Clayton mixture copula, followed by the dynamic … Student-t copula, and the dynamic Gaussian-Clayton mixture. In comparison to the multivariate normal model, the dynamic …

We introduce a statistical test for comparing the predictive accuracy of competing copula specifications in … copula is favored over Gaussian, Gumbel and Clayton copulas. This suggests that these exchange rate returns are characterized …

This paper generalizes the locally optimal linear rank test based on copula from Shirahata (1974) resp. Guillén and …