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, score-driven dynamics, multivariate density forecast
• JEL
  C32, C58, G17