Extreme-value copulas arise as the possible limits of copulas of component-wise maxima of independent, identically distributed samples. The use of bivariate extreme-value copulas is greatly facilitated by their representation in terms of Pickands dependence functions. The two main families of...

This paper addresses econometric challenges arising in panel data analyses related to IPAT (environmental Impact of Population, Affluence and Technology) models. Panel data in this context is often characterized by a large-N and large-T structure. This poses specific econometric complexities due...

It is well known that the correlation between financial series varies over time. Here, the forecasting performance of different time-varying correlation models is compared for cross-country correlations of weekly G5 and daily European stock market indices. In contrast to previous studies only...