 A Survey on Time-Varying Copulas: Specification, Simulations, and ApplicationHans Manner and Olga Reznikova Econometric Reviews, 2012, vol. 31, issue 6, 654-687 Abstract: The aim of this article is to bring together different specifications for copula models with time-varying dependence structure. Copula models are widely used in financial econometrics and risk management. They are considered to be a competitive alternative to the Gaussian dependence structure. The dynamic structure of the dependence between the data can be modeled by allowing either the copula function or the dependence parameter to be time-varying. First, we give a brief description of eight different models, among which there are fully parametric, semiparametric, and adaptive methods. The purpose of this study is to compare the applicability of each particular model in different cases. We conduct a simulation study to show the performance for model selection, to compare the model fit for different setups and to study the ability of the models to estimate the (latent) time-varying dependence parameter. Finally, we provide an illustration by applying the competing models on the same financial dataset and compare their performance by means of Value-at-Risk. Date: 2012 Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:taf:emetrv:v:31:y:2012:i:6:p:654-687 Ordering information: This journal article can be ordered from DOI: 10.1080/07474938.2011.608042 Access Statistics for this article Econometric Reviews is currently edited by Dr. Essie Maasoumi More articles in Econometric Reviews from Taylor & Francis Journals |
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