Time-dependent copulas

  • Authors:

  • Jean-David Fermanian;Marten H. Wegkamp

  • Affiliations:

  • CREST-ENSAE, J120, 3, avenue Pierre-Larousse, 92245 Malakoff cedex, France;Department of Mathematics & Department of Statistical Science, Cornell University, Ithaca, NY, USA

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

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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.