Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1146432 | Journal of Multivariate Analysis | 2012 | 11 Pages |
Abstract
For the study of dynamic dependence structures, the authors introduce the concept of a pseudo-copula, which extends Patton’s definition of a conditional copula. They state the equivalent of Sklar’s theorem for pseudo-copulas. They establish the asymptotic normality of nonparametric estimators of pseudo-copulas under strong mixing assumptions, and discuss applications to specification tests. They complement the theory with a small simulation study on the power of the proposed tests.
Related Topics
Physical Sciences and Engineering
Mathematics
Numerical Analysis
Authors
Jean-David Fermanian, Marten H. Wegkamp,