Under the model, we develop a two-stage nonparametric copula control function approach (2sCOPE-np) for endogeneity correction without relying on instrumental variables. The 2sCOPE-np relaxes the key ...

In this analysis, we implemented a stochastic correlation model for Apple (AAPL), IBM, and General Electric (GE) using a Gaussian copula with an Ornstein-Uhlenbeck process.

Our package is also able to simulate data distributed according to the Gaussian copula model. Two functions enable us to generate two types of correlation matrices: block-wise and sparse. The ...

The decision to close the tap on a counterparty may not be based on a bespoke quantitative model. It might instead rely on inadequate models or come from the intuition that a big hole has opened ...

On the other hand, the copula-based model has a discernible effect on the estimated Value-at-Risk and Expected Shortfall for related counties. Additionally, for the different layers of the Standard ...

Compared with the Gaussian copula, the Student’s t copula performs better in capturing the dependence between variables in a dataset. If x1,…, xn x 1,, x n is a set of correlated variables with a ...