Single-index copulae

Jean-David Fermanian () and Olivier Lopez ()
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Jean-David Fermanian: CREST, Laboratoire de Finance et d’Assurance
Olivier Lopez: CREST, Laboratoire de Finance et d’Assurance

No 2015-12, Working Papers from Center for Research in Economics and Statistics

Abstract: We introduce so-called "single-index copulae". They are semi-parametric conditional copulae whose parameter is an unknown "link" function of a univariate index only. We provide estimates of this link function and of the ?nite dimensional unknown parameter. The asymptotic properties of the latter estimates are stated. Thanks to some properties of conditional Kendall’s tau, we illustrate our technical conditions with several usual copula families.

Keywords: Conditional copulae; single-index models; kernel smoothing. (search for similar items in EconPapers)
Pages: 46
Date: 2015-12
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