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Copulas and Temporal Dependence

  • Brendan K. Beare
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    An emerging literature in time series econometrics concerns the modeling of potentially nonlinear temporal dependence in stationary Markov chains using copula functions. We obtain sufficient conditions for a geometric rate of mixing in models of this kind. Geometric β-mixing is established under a rather strong sufficient condition that rules out asymmetry and tail dependence in the copula function. Geometric ρ-mixing is obtained under a weaker condition that permits both asymmetry and tail dependence. We verify one or both of these conditions for a range of parametric copula functions that are popular in applied work. Copyright 2010 The Econometric Society.

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    Article provided by Econometric Society in its journal Econometrica.

    Volume (Year): 78 (2010)
    Issue (Month): 1 (01)
    Pages: 395-410

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    Handle: RePEc:ecm:emetrp:v:78:y:2010:i:1:p:395-410
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