The copula-based modeling of multivariate distributions with continuous margins is
presented as a succession of rank-based tests: a multivariate test of randomness followed …

Structural vector autoregressive (SVAR) models are frequently applied to trace the
contemporaneous linkages among (macroeconomic) variables back to an interplay of …

Weak convergence of the empirical copula process is shown to hold under the assumption
that the first-order partial derivatives of the copula exist and are continuous on certain …

We analyze the dynamics in the global crude oil market based on a structural vector
autoregressive model. We identify the model by presuming that reduced form residuals can …

This paper focuses on nonparametric procedures for testing conditional independence
between random vectors using Möbius transformation. We derive a method predicated on …

Multivariate degradation processes have been observed in many engineering systems. Most
existing multivariate degradation modeling techniques, such as multivariate general path …

The median and median target estimates in sign-restricted SVARs are driven by a highly
informative prior for the set-identified structural parameters. This paper proposes an …

Understanding and developing a correlation measure that can detect general dependencies
is not only imperative to statistics and machine learning, but also crucial to general scientific …

We quantify the causal link between exchange rate movements and sovereign risk of 16
major emerging market economies (EMEs) by means of structural vector autoregressive …

Introduced by Bedford and Cooke (2001, 2002) and discussed in detail in Kurowicka and
Cooke (2006) vines are a flexible class of high-dimensional dependency models which use …