FIML models. The copula model is very useful in situations where the applied researcher has a prior on the distributional … the copula approach to sample selection is first compared to the semiparametric approach and to the standard FIML …

This study proposes a GARCH copula quantile regression model to capture the downside and upside tail dependence between …

approaches to modelling stochastic dependence. However, choosing the 'right' copula is not an easy task, and the temptation to … applications of the Gaussian copula is just one illuminating example.Speaking generally, a 'good' copula should conform to the … introduce and study a new class of Multiple Risk Factor (MRF) copula functions, which we show are exactly such. Namely, the MRF …

In this paper, the optimality of bivariate copula-VaR models and the usefulness of several goodness-of-fit tests for … try to answer two questions: (1) Which parametric copula is optimal for estimating the VaR and Expected Shortfall (ES) of … a given portfolio consisting of linear assets? (2) How can the VaR- or ES-optimal parametric copula be identified in …

copula model (NNC) is introduced in order to capture the dependence structure across ETF returns. Based on the above, weekly … asymmetric skewed t copula statistically outperforms symmetric copulas when it comes to modelling ETF returns dependence. The …

distribution properties. By extending a one-factor Gaussian copula model to make a more accurate default forecast, this paper …

We build a class of copula models that captures time-varying dependence across large panels of financial assets. Our … loadings. The proposed copula models have flexible dynamics and heavy tails yet remain tractable in high dimensions due to ….S. corporations. Our analysis shows that the grouped Student's t stochastic copula is preferred over seven competing models …

that the use of a Gaussian copula in credit risk stress testing should not by default be dismissed in favor of a heavy …-tailed copula which is widely recommended in the finance literature. Gaussian copula would be the appropriate choice for estimating … high stress effects under extreme scenarios. Heavy-tailed copulas like the Clayton or the t copula are recommended in the …

static copula families and come to the conclusion that they are ordered with respect to their parameters and that the lower …-tail dependence of the intra-sector copula is increasing in the absolute values of skewness parameters. Furthermore, I show that the … joint characteristic function of the VCG asset returns can be explicitly given as a nested Archimedean copula of their …

copula generators by construction. This makes sampling straightforward. Moreover, I provide details on a particular …