Quantile and Copula Spectrum: A New Approach to Investigate Cyclical Dependence in Economic Time Series

Gilles Dufrénot (), Takashi Matsuki and Kimiko Sugimoto
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Kimiko Sugimoto: Konan University [Kobe, Japan]

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Abstract: This chapter presents a survey of some recent methods used in economics and finance to account for cyclical dependence and account for their multifaced dynamics: nonlinearities, extreme events, asymmetries, non-stationarity, time-varying moments. To circumvent the caveats of the standard spectral analysis, new tools are now used based on copula spectrum, quantile spectrum and Laplace periodogram in both non-parametric and parametric contexts. The chapter presents a comprehensive overview of both theoretical and empirical issues as well as a computational approach to explain how the methods can be implemented using the R Package.

Date: 2021-01
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Published in Gilles Dufrénot; Takashi Matsuki. Recent Econometric Techniques for Macroeconomic and Financial Data, 27, Springer International Publishing, pp.3-34, 2021, Dynamic Modeling and Econometrics in Economics and Finance, 978-3-030-54252-8. ⟨10.1007/978-3-030-54252-8_1⟩

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Chapter: Quantile and Copula Spectrum: A New Approach to Investigate Cyclical Dependence in Economic Time Series (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-03103726

DOI: 10.1007/978-3-030-54252-8_1

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