Forecasting has always been at the forefront of decision making and planning. The
uncertainty that surrounds the future is both exciting and challenging, with individuals and …

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 …

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 book originated from a set of lecture notes for a one-quarter graduatelevel course
taught at the University of Washington. The purpose of the course is to familiarize the …

This article explores the copula approach for econometric modeling of joint parametric
distributions. Although theoretical foundations of copulas are complex, this paper …

Flexible modeling of how an entire distribution changes with covariates is an important yet
challenging generalization of mean-based regression that has seen growing interest over …

Robust rank correlation based screening Page 1 The Annals of Statistics 2012, Vol. 40, No. 3,
1846–1877 DOI: 10.1214/12-AOS1024 © Institute of Mathematical Statistics, 2012 ROBUST …

Probability distributions of multivariate random variables are generally more complex
compared to their univariate counterparts which is due to a possible nonlinear dependence …

Decoding complex relationships among large numbers of variables with relatively few
observations is one of the crucial issues in science. One approach to this problem is …

Extending the rank likelihood for semiparametric copula estimation Page 1 The Annals of
Applied Statistics 2007, Vol. 1, No. 1, 265–283 DOI: 10.1214/07-AOAS107 © Institute of …