benefit of portfolio diversification by bank/financial analysts. Copula technique is a common technique in modeling the joint … copula technique best described the relationship of dependence of four main index in the world to the Indonesian Index (JKSE … dependence structure was analyzed by a copula technique between each pair of the index. As for the dependence measure, was stated …

multivariate time series, this can be achieved with a copula model, where both serial and cross-sectional dependence is captured by … a copula function, and the margins are nonparametric. Yet most existing copulas cannot capture heteroskedasticity well …, which is a feature of many economic and financial time series. To do so, we propose a new copula created by the inversion of …

, or are we rather witnessing a fusion of top capital and top earnings? This paper proposes an extension of the copula …

stochastic volatility models. We consider time-independent and time-dependent copula models and we study the asymptotic behavior … estimators of the associated copula parameters. The results show that even if the generalized errors depend on unknown parameters … of change-point on the full distribution, and the margins or the copula, as if the generalized errors were observed. For …

Vine copula provides a flexible tool to capture asymmetry in modelling multivariate distributions. Nevertheless, its … simplifying assumption (SA) is commonly adapted in specific applications of vine copula models. In this paper, generalized linear … copula models. The conventional vine copula with the SA, the proposed GLM-based vine copula and the sparse vine copula are …

quite restrictive modelling assumptions. The aim of this paper is to develop a new semi-nonparametric copula model in order … some individual characteristics. We apply this functional copula model to US data. We find that positional persistence at …

associated copula may be time-dependent. We propose estimators for the unknown parameters and we establish the limiting … distribution of the estimators of the copula and the conditional copula, together with a parametric bootstrap method for … functionals of the copula-based model under non-stationarity: conditional quantiles, conditional mean, and conditional expected …