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19-013/IV - Closed-Form Multi-Factor Copula Models with Observation-Driven Dynamic Factor Loadings


  • Authors
    Anne Opschoor, Vrije Universiteit Amsterdam and Tinbergen Institute; André Lucas, Vrije Universiteit Amsterdam and Tinbergen Institute; Istvan Barra, Independent Research; Dick van Dijk , Erasmus Universiteit Rotterdam and Tinbergen Institute
  • Publication date
    February 19, 2019
  • Keywords
    Factor copulas; factor structure; realized correlation; score-driven dynamics
  • JEL
    C32, C58, G17