consists of policies across a wide range of crops, plans, and locations. Weather and other latent variables induce dependence …

This paper examines the dependence structure of different currencies versus the Nigerian Naira using constant and time … (Gaussian copula) but on copula models that can capture asymmetry and tail dependence, such as Student t, SJC, and Gumbel … copulas. …

risk metrics computed from a copula-based model of dependence between financial firm returns and financial asset market …

). The novelty of this paper is the consideration of the dependence between the two error terms in the case of panel data and … balanced panel case, several models describing the evolution of the inefficiency over time and the dependence between the two … error terms. The inefficiency and noise terms being dependent, a copula function which reflects the dependence between them …

of dependence via (conditional) copulas is emphasized. We propose the default time copula as a consistent default … liquidated. Bond investors form instead a prior on these thresholds. Stochastic dependence between default events is induced … through correlated asset values and correlated default thresholds. The former results from dependence of firms on common …

dependencies within the system using tail dependence coefficients. Empirical results identify Attijariwafa Bank and Banque Centrale …

Pearson's correlation coefficient is typically used for measuring the dependence structure of stock returns …'s rho as an alternative dependence measure. Our approach is purely nonparametric and we avoid any kind of model … significant differences in dependence of stock returns in bull and bear markets. On the other hand the differences are not so …