Copulas in Econometrics

By Yanqin Fan, Andrew J. Patton. 2014

102 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Global and Planetary Change

View Paper: https://www.semanticscholar.org/paper/897ec8b9e65f6fd0072666bca3105749a85ca115

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Alexandre Poirier
2. Matthew A. Masten
3. Zheng Fang
4. Andrés Santos

In Finance

1. Alexandre Poirier
2. Matthew A. Masten

Citations in the corpus

• Quantile coherency: A general measure for dependence between cyclical economic variables (2015, unknown): “Comparing Theorem 4.1 with results for the traditional coherency [see, for example, Theorem 7.6.2 in Brillinger (1975)], we observe that the distribution of R̂n,R(ω; τ1, τ2) is asymptotically equivalent to that of the traditional estimator [cf. (7.6.14) in Brillinger (1975)] computed from the unobse”
• Inference on breakdown frontiers (2017, background): “See Nelsen (2006) for an overview of copulas and Fan and Patton (2014) for a survey of their use in econometrics.”