-linear dependence structure can result in an overestimation or underestimation of these metrics. Copula functions are commonly utilized … Sharpe ratio using copulas and proposes a copula-based approach to tackle the estimation issue. The performance of the …

endogeneity of spending in a flexible copula regression model with Bernoulli and Tweedie margins and discuss its implementation in …

We propose a novel copula approach to producing density forecasts of economic aggregates combining models using … disaggregate data. Our copula approach is more flexible compared to existing techniques, because it is applicable to any … consumer price index for underlying inflation (CPI-ATE). We find that the copula approach compares well to alternative methods …