A review of copula models for economic time series

JOURNAL OF MULTIVARIATE ANALYSIS

卷:110

Article; Proceedings Paper

Patton, Andrew J.

关键词: Correlation;    Inference;    Multivariate models;    Semiparametric estimation;    Time series;   

DOI  :  10.1016/j.jmva.2012.02.021

来源: Elsevier

【 摘 要 】

This survey reviews the large and growing literature on copula-based models for economic and financial time series. Copula-based multivariate models allow the researcher to specify the models for the marginal distributions separately from the dependence structure that links these distributions to form a joint distribution. This allows for a much greater degree of flexibility in specifying and estimating the model, freeing the researcher from considering only existing multivariate distributions. The author surveys estimation and inference methods and goodness-of-fit tests for such models, as well as empirical applications of these copulas for economic and financial time series. (C) 2012 Elsevier Inc. All rights reserved.

【 授权许可】

Free