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Found 2 papers, 1 papers with code
Testing for equality between conditional copulas given discretized conditioning events
Instead of considering pointwise conditioning events, we study the constancy of the conditional dependence structure when some covariates belong to general borelian conditioning subsets.
Stationary vine copula models for multivariate time series
Vine copulas are graphical models for the dependence and can conveniently capture both types of dependence in the same model.
Methodology
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