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Wavelet Estimation of Copulas for Time Series

Author

Listed:
  • Morettin Pedro A.

    (University of São Paulo)

  • Toloi Clelia M.C.

    (University of São Paulo)

  • Chiann Chang

    (University of São Paulo)

  • de Miranda José C.S.

    (University of São Paulo)

Abstract

In this paper, we consider estimating copulas for time series, under mixing conditions, using wavelet expansions. The proposed estimators are based on estimators of densities and distribution functions. Some statistical properties of the estimators are derived and their performance assessed via simulations. Empirical applications to real data are also given.

Suggested Citation

  • Morettin Pedro A. & Toloi Clelia M.C. & Chiann Chang & de Miranda José C.S., 2011. "Wavelet Estimation of Copulas for Time Series," Journal of Time Series Econometrics, De Gruyter, vol. 3(3), pages 1-31, October.
    • Handle: RePEc:bpj:jtsmet:v:3:y:2011:i:3:n:4
    DOI: 10.2202/1941-1928.1033
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    References listed on IDEAS

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    7. Pedro Alberto Morettin & Clélia Maria de Castro Toloi & Chang Chiann & José Carlos Simon de Miranda, 2010. "Wavelet Smoothed Empirical Copula Estimators," Brazilian Review of Finance, Brazilian Society of Finance, vol. 8(3), pages 263-281.
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