Wavelet Smoothed Empirical Copula Estimators

Pedro Alberto Morettin (), Clélia Maria de Castro Toloi (), Chang Chiann () and José Carlos Simon de Miranda ()
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Pedro Alberto Morettin: Universidade de São Paulo

Brazilian Review of Finance, 2010, vol. 8, issue 3, 263-281

Abstract: We introduce copula estimators based on wavelet smoothing of empirical copulas for the case of time series data. We then study the properties of this estimator via simulations and compare its performance with other estimators. Applications to real data are also given.

Keywords: copula; empirical copula; time series; wavelet; copula; empirical copula; time series; wavelet (search for similar items in EconPapers)
JEL-codes: C14 (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (4)

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