• Graduate program
    • Why Tinbergen Institute?
    • Program Structure
    • Courses
    • Course Registration
    • Facilities
    • Admissions
    • Recent PhD Placements
  • Research
  • News
  • Events
    • Summer School
      • Inequalities in Health and Healthcare
        • Tuition Fees and Payment
        • Meet the Lecturers
      • Research on Productivity, Trade, and Growth
      • Behavioral Macro and Complexity
    • Events Calendar
    • Tinbergen Institute Lectures
    • Annual Tinbergen Institute Conference
    • Events Archive
  • Alumni
  • Times

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