with respect to that of its margins, and has been often studied by using the tail dependence function of its copula. A tail … densities. The relation between the copula tail densities and regularly varying densities are established, and the tail … extremal dependence analysis on a vine copula, for which the tail density can be written recursively in the product form of …

terms of bivariate copulas that link observed data to latent variables. The representation is called a factor copula model …. Dependence and tail properties of the model are obtained. The factor copula model can handle multivariate data with tail … dependence and tail asymmetry, properties that the multivariate normal copula does not possess. It is a good choice for modeling …

We consider copulas with a given diagonal section and compute the explicit density of the unique optimal copula which … maximizes the entropy. In this sense, this copula is the least informative among the copulas with a given diagonal section. We … give an explicit criterion on the diagonal section for the existence of the optimal copula and give a closed formula for …

product of the density of the transformed data and marginal densities, which coincides with the copula representation of … can be decomposed into the KLIC of the marginal densities and that of the copula density. We derive the convergence rate … presented. The estimated conditional copula density provides useful insight into the joint movements of the US and UK markets …

Considering multivariate strongly mixing time series, nonparametric tests for a constant copula with specified or …