copulas and permit the formulation and estimation of models that combine arbitrary marginal distributions with copula … processes for the dynamics of the volatility proxy. The idea is illustrated using a Gaussian ARMA copula process and the …

estimation of these two top distributions by using the best data available for Germany. We leverage the bivariate copula to … model. The copula modelling grants the separability in choosing the estimation domain as well as the parametric … model fit with external validation. The copula estimate can help us to perform out-of-sample prediction on the very top of …

estimation of these two top distributions. We leverage the bivariate parametric/non-parametric copula to extrapolate both income … and wealth distributions from German PHF (Panel on Household Finance) data. The copula modelling potentially reduces the …. The copula estimate can help us to perform out-of-sample prediction on the very top of the tail distribution from one …

, 1h) are included in the estimation of univariate GARCH models, to be used in combination with copula functions for VaR …