The COAALA copula allows to analyse financial market stability by studying co-movement between stocks and government … twofold. First, we develop a novel copula function (COAALA) that is fully flexible. It accommodates the known features of … account potential asymmetries in the likelihood of such responses. This copula comes with closed-form expressions of …

We develop new multi-factor dynamic copula models with time-varying factor loadings and observation-driven dynamics … factor models also improve one-step-ahead copula density forecasts and global minimum variance portfolio performance. Finally …

dependence for different copula models can be challenging. In this work, we propose a class of new methods that involves a highly … accurate and computationally efficient procedure to evaluate concordance measures for a given copula, applicable even when … sampling from the copula is not easily achieved. In addition, this then allows us to reconstruct maps of concordance measures …

We develop a new class of techniques that takes a copula function and quantifies the dependence properties through a … localized coefficient of dependence in the state space. Effectively we develop a numerical procedure to map any copula function … to a generalized Gaussian copula function. This allows us to visualize and interpret the copula functions characteristics …

This paper proposes a new copula model known as the Lévy subordinated hierarchical Archimedean copulas (LSHAC) for … smaller standard deviations, when compared to other benchmark copula models. The LSHAC model also confirms that there is an …

Last decades show an increased interest of modeling various types of data through copulae. After copulae have been used … particular after the pitfall of the Gaussian models in the financial crisis of 2008. Since then different copula models have been … in solving the issue of identifying the best suited copula model for a given dataset, although different GoF tests often …

For multivariate distributions in the domain of attraction of a max-stable distribution, the tail copula and the stable … similar in structure to the weak limit of the empirical copula process. We extend this multivariate result to continuous … functional data by establishing the asymptotic normality of the estimators of the tail copula,uniformly over all finite subsets …

, copula based estimators are also consistent in presence of dependent competing risks. In this paper we suggest a … computationally convenient extension of the Copula Graphic Estimator (Zheng and Klein, 1995) to a model with more than two dependent …

This paper focuses on the analysis of long-memory properties of copula-based time series. We show via simulations that … there exist Clayton copula-based stationary Markov processes that exhibit long memory on the level of copulas. This long … memory is captured by an extremely slow hyperbolic decay of copula-based dependence measures between lagged values of the …

At the heart of the copula methodology in statistics is the idea of separating marginal distributions from the … copula is known and the marginal distributions are completely unknown, the empirical distribution functions are semi …-parametrically efficient if and only if the copula is the independence copula. Incorporating the knowledge of the copula into a nonparametric …