A review of copula models for economic time series

Published

Journal Article

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. © 2012 Elsevier Inc.

Full Text

Duke Authors

Cited Authors

  • Patton, AJ

Published Date

  • September 1, 2012

Published In

Volume / Issue

  • 110 /

Start / End Page

  • 4 - 18

Electronic International Standard Serial Number (EISSN)

  • 1095-7243

International Standard Serial Number (ISSN)

  • 0047-259X

Digital Object Identifier (DOI)

  • 10.1016/j.jmva.2012.02.021

Citation Source

  • Scopus