This survey reviews the large and growing literature on copula-based models for economic
and financial time series. Copula-based multivariate models allow the researcher to specify …

Copula-based models provide a great deal of flexibility in modeling multivariate
distributions, allowing the researcher to specify the models for the marginal distributions …

We present a newly developed Multivariate Copula Analysis Toolbox (MvCAT) which
includes a wide range of copula families with different levels of complexity. MvCAT employs …

This article presents flexible new models for the dependence structure, or copula, of
economic variables based on a latent factor structure. The proposed models are particularly …

Copulas have proven to be very successful tools for the flexible modeling of cross-sectional
dependence. In this paper we express the dependence structure of continuous-valued time …

We propose an empirical framework to assess the likelihood of joint and conditional
sovereign default from observed CDS prices. Our model is based on a dynamic skewed-t …

In this paper we provide a method for estimating multivariate distributions defined through
hierarchical Archimedean copulas. In general, the true structure of the hierarchy is unknown …

The federal crop insurance program has been a major fixture of US agricultural policy since
the 1930s, and continues to grow in size and importance. Indeed, it now represents the most …

We build a class of copula models that captures time-varying dependence across large
panels of financial assets. Our models nest Gaussian, Student's t, grouped Student's t, and …

Various methods have been developed over the past five decades for dependence
modeling of multivariate variables in hydrology and water resources, but there has been no …