Wavelet Smoothed Empirical Copula Estimators

Wavelet Smoothed Empirical Copula Estimators

We introduce copula estimators based on wavelet smoothing of empirical copulas for the case of time series data. We then study the properties of this estimator via simulations and compare its performance with other estimators. Applications to real data are also given.

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Veröffentlicht in:Revista Brasileira de Finanças 2010-09, Vol.8 (3), p.263-281
Hauptverfasser: Pedro Alberto Morettin, Clélia Maria de Castro Toloi, Chang Chiann, José Carlos Simon de Miranda
Format: Artikel
Sprache:eng ; spa
Schlagworte:
copula
empirical copula
time series
wavelet
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Zusammenfassung:We introduce copula estimators based on wavelet smoothing of empirical copulas for the case of time series data. We then study the properties of this estimator via simulations and compare its performance with other estimators. Applications to real data are also given.
ISSN:1679-0731
1984-5146