Copula Modeling: An Introduction for Practitioners

Pravin Trivedi and David Zimmer

Foundations and Trends(R) in Econometrics, 2007, vol. 1, issue 1, 1-111

Abstract: This article explores the copula approach for econometric modeling of joint parametric distributions. Although theoretical foundations of copulas are complex, this paper demonstrates that practical implementation and estimation are relatively straightforward. An attractive feature of parametrically specified copulas is that estimation and inference are based on standard maximum likelihood procedures, and thus copulas can be estimated using desktop econometric software. This represents a substantial advantage of copulas over recently proposed simulation-based approaches to joint modeling.

Keywords: Copulas; Econometric modeling; Estimation and misspecification (search for similar items in EconPapers)
Date: 2007
References: Add references at CitEc
Citations: View citations in EconPapers (144)

Downloads: (external link)
http://dx.doi.org/10.1561/0800000005 (application/xml)

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:now:fnteco:0800000005

Access Statistics for this article

More articles in Foundations and Trends(R) in Econometrics from now publishers
Bibliographic data for series maintained by Lucy Wiseman ().