This article introduces a graphical goodness-of-fit test for copulas in more than two dimensions. The test is based on pairs of variables and can thus be interpreted as a first-order approximation of
To capture non-smooth changes in dynamic dependence, we incorporate a factorial hidden Markov regime-switching model within the factor Copula framework. This approach allows us to construct a factoria
Elliptical copulas provide flexibility in modeling the dependence structure of a random vector. They are often parameterized with a correlation matrix and a scalar function, called generator. The esti
