Wavelet Estimation of Copulas for Time Series

Morettin Pedro A., Toloi Clelia M.C., Chiann Chang and C.S. de Miranda José
Additional contact information
Morettin Pedro A.: University of São Paulo
Toloi Clelia M.C.: University of São Paulo
Chiann Chang: University of São Paulo
C.S. de Miranda José: University of São Paulo

Journal of Time Series Econometrics, 2011, vol. 3, issue 3, 31

Abstract: In this paper, we consider estimating copulas for time series, under mixing conditions, using wavelet expansions. The proposed estimators are based on estimators of densities and distribution functions. Some statistical properties of the estimators are derived and their performance assessed via simulations. Empirical applications to real data are also given.

Keywords: copula; density; time series; wavelet; wavelet estimators (search for similar items in EconPapers)
Date: 2011
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DOI: 10.2202/1941-1928.1033

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