Copulas and Temporal Dependence

Brendan Beare

Econometrica, 2010, vol. 78, issue 1, 395-410

Abstract: An emerging literature in time series econometrics concerns the modeling of potentially nonlinear temporal dependence in stationary Markov chains using copula functions. We obtain sufficient conditions for a geometric rate of mixing in models of this kind. Geometric β-mixing is established under a rather strong sufficient condition that rules out asymmetry and tail dependence in the copula function. Geometric ρ-mixing is obtained under a weaker condition that permits both asymmetry and tail dependence. We verify one or both of these conditions for a range of parametric copula functions that are popular in applied work. Copyright 2010 The Econometric Society.

Date: 2010
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Working Paper: Copulas and Temporal Dependence (2009)
Working Paper: Copulas and Temporal Dependence (2008)
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