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
We develop new multi-factor dynamic copula models with time-varying factor loadings and observation-driven dynamics. The new models are highly flexible, scalable to high dimensions, and ensure positiv
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