, conditional quantiles are specified via hierarchical Archimedean copula. The parameters and structure of this copula are …

This paper applies a non- and a semiparametric copula-based approach to analyze the first-order autocorrelation of …

This paper concerns goodness-of-fit test for semiparametric copula models. Our contribution is two-fold: we first … of any probability integral transformations. Under the null hypothesis that the copula model is correctly specified, we …

distribution are less addressed. To quantify systemic risk in a system-wide perspective, we propose a network-based factor copula … approach to study systemic risk in a network of systemically important financial institutions (SIFIs). The factor copula model …

We introduce a copula-based dynamic model for multivariate processes of (non-negative) high-frequency trading variables … multiplicative error model we map the resulting residuals into a Gaussian domain using a Gaussian copula. Based on high … proposed copula-based transformation is supported by the data and allows disentangling (multivariate) dynamics in higher order …

distribution functions on Rd + defined via a copula. Maximum likelihood estimation is based on the assumption of constant copula … suggest to test for time-varying dependence by calibrating a time-varying copula model and to reestimate the VMEM based on …

global financial crisis. We investigate the evolution of the correlations using different copula models: the standard … Gaussian, the NIG, the double-t, and the Gumbel copula model. After calibration of these models one obtains a time varying …

-dimensional hierarchical Archimedean copulae (HAC). A computationally effcient estimation procedure allows to recover the structure and the …

conditions in different locations. For that purpose copula methods are employed that allow an adequate description of stochastic …

Archimedean opulas and allows for general non-exchangeable dependency structures. We show that the structure of the copula can be … uniquely recovered from all bivariate margins. We derive the distribution of the copula value, which is particularly useful for …