A review of copula models for economic time series

[摘要] 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. (C) 2012 Elsevier Inc. All rights reserved.

[发布日期] 2012-09-01

[效力级别]  Proceedings Paper

[关键词] Correlation;Inference;Multivariate models;Semiparametric estimation;Time series