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 generalized hyperbolic ...

As global financial markets become increasingly interconnected, accurately modelling correlations between assets is essential. Traditional models often assume static correlations, which fail to ...

Copula models have emerged as a pivotal tool in modern statistical analysis by enabling researchers to disentangle marginal behaviours from their joint dependency structures. This flexibility is ...