Public debates about the rise in top income shares often focus on the growing dispersion in earnings and the soaring pay for top executives and financial-sector employees. But can the change in the marginal distribution of earnings on its own explain the rise in top income shares? Are top...

In this paper, we propose an intuitive way to couple several dynamic time series models by inducing dependence between the so-called generalized errors of each model. This extends previous work for modelling dependance between innovations of stochastic volatility models. We consider...

In this paper, we consider non-stationary response variables and covariates, where the marginal distributions and the associated copula may be time-dependent. We propose estimators for the unknown parameters and we establish the limiting distribution of the estimators of the copula and the...

It is known that, if two random vectors normally distributed have the same correlation matrix, then they have the same copula. It is shown in this paper that, in fact, the reverse is also true. This result will be applied to a special case. It will also be shown under a certain condition the...

It is known that, if two random vectors normally distributed have the same correlation matrix, then they have the same copula. It is shown in this paper that, in fact, the reverse is also true. This result will be applied to a special case. It will also be shown under a certain condition the...

The analytical evaluation of economic risk capital as well as the measurement and allocation of diversification for portfolios of non-normal risks is an open field in risk management research. Based on the method of copulas, we construct a parametric family of multivariate distributions using...

A copula based statistical method for fitting joint cumulative returns between a market index and a single stock to daily data is proposed. Modifying the method of inference functions for margins (IFM method), one performs two separate maximum likelihood estimations of the univariate marginal...

The class of bivariate extreme value copulas, which satisfies the monotone regression positive dependence property or equivalently the stochastic increasing property, is considered. A variational calculus proof of the Hutchinson-Lai conjecture about Kendall's tau and Spearman's rho for this...