has there been any interesting work or advances on the copula-marginal algorithm (CMA) as proposed by Attilio Meucci. I am unable to find anything on the web other then the original article, here is the original article that i am referring too. I'm just curious if any one has built on his research or if this may be of any use at all
The algorithm is certainly useful in that it is non-parametric, fast, and versatile. Meucci summarizes the advantages nicely:
The paper was published 3Q last year so there are not many citations yet. Hard to see what features are lacking -- if anything, the algorithm corrects for the weaknesses of parametric copulas and offers far more versatility for stress-testing and mixing arbitrary copulas and marginals.