generated via Clayton, Gumbel and Student's t copulas (with tail dependence) are all geometric ergodic. We then propose a sieve … models are characterized by nonparametric invariant distributions and parametric copula functions; where the copulas capture … all scale-free temporal dependence and tail dependence of the processes. The Markov models generated via tail dependent …

some temporal dependence properties. We then present penalized sieve extremum (PSE) estimation as a general method for semi …

assets in the collateral pool. The dependence between the names in the portfolio mainly depends on current economic … conditions. Therefore, a correlation implied from tranches can be seen as a measure of the general health of the credit market …

This paper uses a frequency domain approach to gain insight into the correlation between survey indicators and year … of the correlation between survey indicators and year-on-year GDP growth at the different frequencies to explain their … overall correlation. We show that survey indicators, similar to year-on-year GDP growth, do not perfectly reflect business …

We investigate the possibility of exploiting partial correlation graphs for identifying interpretable latent variables … underlying a multivariate time series. It is shown how the collapsibility and separation properties of partial correlation graphs …

varying levels of average correlation and tail dependence coefficients. …We solve for the optimal portfolio allocation in a setting where both conditional correlation and theclustering of … extreme events are considered. We demonstrate that there is a substantial welfare loss indisregarding tail dependence, even …

that a proper copula (so-called WPM copula) results. In this case, we also derive dependence properties of WPM copulas and …It is well known that the arithmetic mean of two possibly different copulas forms a copula, again. More general, we … focus on the weighted power mean (WPM) of two arbitrary copulas which is not necessary a copula again, as different …