Marketing researchers are increasingly taking advantage of the instrumental variable (IV)-free Gaussian copula approach … Gaussian copula approach’s original presentation and performance demonstration via a series of simulation studies focused … models with intercept. This research expands our knowledge of the Gaussian copula approach to regression models with …

, copula-based high dimensional settings are used for as many as a few hundred variables and require large data samples for … problem of allocation of large portfolios …

the best bivariate copula in each case. Associated structural properties of these bivariate copulas are also discussed … with a major focus on their tail dependence structure. This study shows that certain types of Archimedean copula with the …

transforms (PIT) and Rosenblatt transforms are used to map the problem into an independent copula. For this simple copula …, statistical tests can be applied to validate the choice of the in-sample copula or the validity of the bivariate forecast. The … salient results are that a Student copula describes well the dependencies between financial time series (regardless of the …