Copula-based dynamic models for multivariate time series

Bouchra R. Nasri and Bruno N. Rémillard

Journal of Multivariate Analysis, 2019, vol. 172, issue C, 107-121

Abstract: In this paper, we propose an intuitive way to couple several dynamic time series models even when there are no innovations. This extends previous work for modeling dependence between innovations of stochastic volatility models. We consider time-dependent and time-independent copula models and we study the asymptotic behavior of some empirical processes constructed from pseudo-observations, as well as the behavior of maximum pseudo-likelihood estimators of the associated copula parameters. The results show that even if the univariate dynamic models depend on unknown parameters, the limiting behavior of many processes of interest does not depend on the estimation errors. One can perform tests for change points on the full distribution, the margins or the copula, as if the parameters of the dynamic models were known. This is also true for some parametric models of time-dependent copulas. This interesting property makes it possible to construct consistent tests of specification for the dependence models, without having to consider the dynamic time series models. Monte Carlo simulations are used to demonstrate the power of the proposed goodness-of-fit test in finite samples. An application to financial data is given.

Keywords: Copulas; Dynamic models; Generalized error models; Goodness-of-fit; Time series (search for similar items in EconPapers)
Date: 2019
References: Add references at CitEc
Citations: View citations in EconPapers (7)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0047259X18302008
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jmvana:v:172:y:2019:i:c:p:107-121

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

DOI: 10.1016/j.jmva.2019.03.002

Access Statistics for this article

Journal of Multivariate Analysis is currently edited by de Leeuw, J.

More articles in Journal of Multivariate Analysis from Elsevier
Bibliographic data for series maintained by Catherine Liu ().