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Three-stage semi-parametric estimation of T-copulas: Asymptotics, finite-sample properties and computational aspects

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  • Fantazzini, Dean

Abstract

A two-stage semi-parametric estimation procedure for a broad class of copulas satisfying minimal regularity conditions has been recently proposed. In addition, a three-stage semi-parametric estimation method based on Kendall's tau in order to estimate the Student's t copula has also been designed. Its major advantage is to allow for greater computational tractability when dealing with high dimensional issues, where two-stage procedures are no more a viable choice. The asymptotic properties of this methodology are developed and its finite-sample behavior are examined via simulations. The advantages and disadvantages of this methodology are analyzed in terms of numerical convergence and positive definiteness of the estimated T-copula correlation matrix.

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  • Fantazzini, Dean, 2010. "Three-stage semi-parametric estimation of T-copulas: Asymptotics, finite-sample properties and computational aspects," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2562-2579, November.
    • Handle: RePEc:eee:csdana:v:54:y:2010:i:11:p:2562-2579
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    Cited by:

    1. Carluccio Bianchi & Maria Elena De Giuli & Dean Fantazzini & Mario Maggi, 2011. "Small sample properties of copula-GARCH modelling: a Monte Carlo study," Applied Financial Economics, Taylor & Francis Journals, vol. 21(21), pages 1587-1597.
    2. Jin Zhang & Dietmar Maringer, 2010. "Asset Pair-Copula Selection with Downside Risk Minimization," Working Papers 037, COMISEF.
    3. Jin Zhang & Wing Long Ng, 2010. "Exact Maximum Likelihood Estimation for Copula Models," Working Papers 038, COMISEF.
    4. Fantazzini, Dean, 2011. "Analysis of multidimensional probability distributions with copula functions. II," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 23(3), pages 98-132.
    5. Paolella, Marc S. & Polak, Paweł, 2015. "ALRIGHT: Asymmetric LaRge-scale (I)GARCH with Hetero-Tails," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 282-297.
    6. Fantazzini, Dean, 2020. "Discussing copulas with Sergey Aivazian: a memoir," MPRA Paper 102317, University Library of Munich, Germany.
    7. Nikoloulopoulos, Aristidis K. & Joe, Harry & Li, Haijun, 2012. "Vine copulas with asymmetric tail dependence and applications to financial return data," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3659-3673.

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