At the heart of the copula methodology in statistics is the idea of separating marginal distributions from the dependence structure. However, as shown in this paper, this separation is not to be taken for granted: in the model where the copula is known and the marginal distributions are...

We use copula models to investigate the structural dependence between CEEC-3 (Poland, the Czech Republic, and Hungary) and German bond markets from 2000 to 2012. We evaluate the degree of financial integration and dependence structure changes in government securities markets following European...

Spot electricity prices are very volatile, particularly due to the fact that electricity cannot be economically stored and requires immediate delivery. However, the inability to store electricity means that fluctuations in demand and supply are often transmitted directly into spot prices of...

We propose an iterative procedure to efficiently estimate models with complex log-likelihood functions and the number of parameters relative to the observations being potentially high. Given consistent but inefficient estimates of sub-vectors of the parameter vector, the procedure yields...