We propose an equivalent formulation of a two player information design problem in terms of choosing a copula, as … opposed to choosing a joint distribution of a signal and the state variable. We then propose a copula based signal ordering …

time-series. KCPs build on the celebrated theory of copula which allows for the modeling of complex interdependence …Kernel-based Copula Processes (KCPs), a new versatile tool for analyzing multiple time-series, are proposed here as a …

An elliptical copula model is a distribution function whose copula is that of an elliptical distribution. The tail …

This paper extends the evolution equation of Patton (2006) for the time variation of the copula parameters by … specifying an autoregressive fractionally integrated term. For any copula parameter there is a suitable one-to-one transformation … so that the maximum likelihood estimation method may be employed. It is suggested an exploratory tool based on the copula …

tail dependence function of the multivariate Student-t copula, which accounts for all types of dependence …

This paper introduces a new parametric copula family based on Fourier expansions and flexible enough to describe … Transform. We overcome the Fourier series' assumption of periodicity by using a pseudo-copula and demonstrate the resulting … introduced along with a Fourier-Clayton mixture copula. The Fourier-Clayton copula allows for some measure of tail dependence and …