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Single-index copulae

Author

Listed:
  • Jean-David Fermanian

    (CREST, Laboratoire de Finance et d’Assurance)

  • Olivier Lopez

    (CREST, Laboratoire de Finance et d’Assurance)

Abstract

We introduce so-called "single-index copulae". They are semi-parametric conditional copulae whose parameter is an unknown "link" function of a univariate index only. We provide estimates of this link function and of the ?nite dimensional unknown parameter. The asymptotic properties of the latter estimates are stated. Thanks to some properties of conditional Kendall’s tau, we illustrate our technical conditions with several usual copula families.

Suggested Citation

  • Jean-David Fermanian & Olivier Lopez, 2015. "Single-index copulae," Working Papers 2015-12, Center for Research in Economics and Statistics.
    • Handle: RePEc:crs:wpaper:2015-12
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    References listed on IDEAS

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