Recently, several copula-based approaches have been proposed for modeling stationary multivariate time series. All of … copula autoregressive (COPAR) approach to model the dependence of unobserved multivariate factors resulting from two dynamic … copula models for stationary multivariate time series. An empirical study illustrates the forecasting superiority of our …

develop Bayesian inference for a recently proposed latent factor copula model, which utilizes a pair copula construction to …

specifications used elsewhere in the literature, including different copula models. The approach followed supports ultimate … results suggest that dynamic copula based measures of tail dependence incorporate almost all essential pricing information …

threshold models and seemingly unrelated systems of them based on copula theory. This theory enables us to relax the assumption …

distribution are less addressed. To quantify systemic risk in a system-wide perspective, we propose a network-based factor copula … approach to study systemic risk in a network of systemically important financial institutions (SIFIs). The factor copula model …