Volatility and Time Series Econometrics: Essays in Honor of Robert F. .Engle Edited by Tim Bollerslev, Jeffrey R. Russell, and Mark W. Watson OXFORD UNIVERSITY PRESS ...

The concept of common factors has in the econometrics literature been applied to conditional means or in some cases to conditional variances. In this paper we generalize this concept to bivariate distributions. This is done using the conditional bivariate copula as the statistical tool. The...

The theory of conditional copulas provides a means of constructing flexible multivariate density models, allowing for time-varying conditional densities of each individual variable, and for time-varying conditional dependence between the variables. Further, the use of copulas in constructing...