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Anatolyev, Stanislav; Gospodinov, Nikolaj - 2015

directions are linked through a 2m-dimensional copula. The approach is detailed in the case of a bivariate decomposition. We …

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interdependence and contemporaneously correlated innovations (vector MEM or vMEM). We suggest copula functions to link Gamma marginals …

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Creal, Drew; Koopman, Siem Jan; Lucas, André - 2010

representation as a time-varying heavy-tailed copula which is particularly useful if the interest focuses on dependence structures …

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