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A Review of Copula Models for Economic Time Series
Company: Journal of Multivariate Analysis
Company Url: Click here to open
Year Of Publication: 2012
Month Of Publication: April
Resource Link: Click here to open
Download Count: 0
View Count: 1351
Comment Num: 0
Language: English
Source: article
Who Can Read: Free
Date: 5-10-2012
Publisher: Administrator
Summary
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.
Author(s)
Patton, Andrew J. Sign in to follow this author
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