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Quantile and Copula Spectrum: A New Approach to Investigate Cyclical Dependence in Economic Time Series

Author

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  • Gilles Dufrénot

    (AMSE - Aix-Marseille Sciences Economiques - EHESS - École des hautes études en sciences sociales - AMU - Aix Marseille Université - ECM - École Centrale de Marseille - CNRS - Centre National de la Recherche Scientifique)

  • Takashi Matsuki

    (Osaka Gakuin University)

  • Kimiko Sugimoto

    (Konan University [Kobe, Japan])

Abstract

This chapter presents a survey of some recent methods used in economics and finance to account for cyclical dependence and account for their multifaced dynamics: nonlinearities, extreme events, asymmetries, non-stationarity, time-varying moments. To circumvent the caveats of the standard spectral analysis, new tools are now used based on copula spectrum, quantile spectrum and Laplace periodogram in both non-parametric and parametric contexts. The chapter presents a comprehensive overview of both theoretical and empirical issues as well as a computational approach to explain how the methods can be implemented using the R Package.

Suggested Citation

  • Gilles Dufrénot & Takashi Matsuki & Kimiko Sugimoto, 2021. "Quantile and Copula Spectrum: A New Approach to Investigate Cyclical Dependence in Economic Time Series," Post-Print hal-03103726, HAL.
  • Handle: RePEc:hal:journl:hal-03103726
    DOI: 10.1007/978-3-030-54252-8_1
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