A review of copula models for economic time series

Andrew Patton

Journal of Multivariate Analysis, 2012, vol. 110, issue C, 4-18

Abstract: This survey reviews the large and growing literature on copula-based models for economic and financial time series. Copula-based multivariate models allow the researcher to specify the models for the marginal distributions separately from the dependence structure that links these distributions to form a joint distribution. This allows for a much greater degree of flexibility in specifying and estimating the model, freeing the researcher from considering only existing multivariate distributions. The author surveys estimation and inference methods and goodness-of-fit tests for such models, as well as empirical applications of these copulas for economic and financial time series.

Keywords: Correlation; Inference; Multivariate models; Semiparametric estimation; Time series (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (239)

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DOI: 10.1016/j.jmva.2012.02.021

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