A review of copula models for economic time series

  • Authors:

  • Andrew J. Patton

  • Affiliations:

  • -

  • Venue:
  • Journal of Multivariate Analysis
  • Year:
  • 2012

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Abstract

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.