Time-dependent copulas

Jean-David Fermanian and Marten H. Wegkamp

Journal of Multivariate Analysis, 2012, vol. 110, issue C, 19-29

Abstract: For the study of dynamic dependence structures, the authors introduce the concept of a pseudo-copula, which extends Patton’s definition of a conditional copula. They state the equivalent of Sklar’s theorem for pseudo-copulas. They establish the asymptotic normality of nonparametric estimators of pseudo-copulas under strong mixing assumptions, and discuss applications to specification tests. They complement the theory with a small simulation study on the power of the proposed tests.

Keywords: Copulas; Goodness-of-fit tests; Kernel method; Time series (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (21)

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DOI: 10.1016/j.jmva.2012.02.018

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