Time series copulas for heteroskedastic data

We propose parametric copulas that capture serial dependence in stationary heteroskedastic time series. We suggest copulas for first-order Markov series, and then extend them to higher orders and multivariate series. We derive the copula of a volatility proxy, based on which we propose newm easures...

Ausführliche Beschreibung

Bibliographische Detailangaben

Veröffentlicht in:	Journal of applied econometrics (Chichester, England) England), 2018-04, Vol.33 (3), p.332-354
Hauptverfasser:	Loaiza-Maya, Rubén, Smith, Michael S., Maneesoonthorn, Worapree
Format:	Artikel
Sprache:	eng
Schlagworte:	Autoregressive models Correlation analysis Econometrics Foreign exchange rates Markov processes RESEARCH ARTICLE Time series Volatility
Online-Zugang:	Volltext
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