Recently, several copula-based approaches have been proposed for modeling stationary multivariate time series. All of them are based on vine copulas, and they differ in the choice of the regular vine structure. In this article, we consider a copula autoregressive (COPAR) approach to model the...

This cumulative dissertation studies various approaches to improve stock market volatility forecasts based on nonlinearity and asymmetric dependence modeling as well as new innovative data sources. Studying multivariate dependence patterns using a vine copula approach and incorporating Google...

Two of the fastest growing frontiers in econometrics and quantitative finance are time series and financial econometrics. Significant theoretical contributions to financial econometrics have been made by experts in statistics, econometrics, mathematics, and time series analysis. The purpose of...

We consider a new copula method for mixed marginals of discrete and continuous random variables. Unlike the Bayesian methods in the literature, we use maximum likelihood estimation based on closed-form copula functions. We show with a simulation that our methodology performs similar to the...

Western governments increasingly place more emphasis on non-income dimensions in measuring national well-being (e.g. the UK, France). Not only averages, but the characteristics of the whole distribution (e.g. inequalities) are taken into consideration. Commonly used data such as life...

In this work we are interested in identifying clusters of "positional equivalent" actors, i.e. actors who play a similar role in a system. In particular, we analyze weighted bipartite networks that describes the relationships between actors on one side and features or traits on the other,...

The thesis at hand includes three distinct essays that analyze economic issues related to liberalized electricity markets. In the first essay, the effects of capacity mechanisms on the market structure in electricity markets are investigated. We consider a model with dominant firms and a...

The paper constitutes an attempt at modelling the joint distribution of crop plant yields and prices in Poland. The main objective of the paper was to examine the usefulness of the copula function for the task and the selection of suitable marginal distributions. The fit of a joint distribution...