Time-dependent copulas
نویسندگان
چکیده
For the study of dynamic dependence structures, we introduce the concept of pseudo-copulas, extending Patton’s (2001a) definition of conditional copulas, and state the equivalent of Sklar’s theorem for pseudo-copulas. We establish asymptotic normality of nonparametric estimators of the pseudo-copulas under strong mixing assumptions, and discuss applications to specification tests. We complement the theory with a small simulation study of the power of the proposed tests.
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عنوان ژورنال:
- J. Multivariate Analysis
دوره 110 شماره
صفحات -
تاریخ انتشار 2012