Copulas and Temporal Dependence
An emerging literature in time series econometrics concerns the modeling of potentially nonlinear temporal dependence in stationary Markov chains using copula functions. We obtain conditions that imply a geometric rate of mixing in models of this kind. A geometric rate of beta-mixing is shown to obtain under a rather strong condition that rules out asymmetry and tail dependence in the copula function. Rho-mixing, which implies a geometric rate of alpha-mixing, is obtained under a much weaker condition. We verify one or both of these conditions for a range of parametric copula functions that are opular in applied work.
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- McCAUSLAND, William J., 2004.
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09-2004, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
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- Xiaohong Chen & Lars P. Hansen & Marine Carrasco, 2008. "Nonlinearity and Temporal Dependence," Cowles Foundation Discussion Papers 1652, Cowles Foundation for Research in Economics, Yale University.
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- Patrick Gagliardini & Christian Gourieroux, 2002.
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2002-21, Centre de Recherche en Economie et Statistique.
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- Lorraine Dearden & Emla Fitzsimons & Alissa Goodman & Greg Kaplan, 2007.
"Higher education funding reforms in England: the distributional effects and the shifting balance of costs,"
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W07/18, Institute for Fiscal Studies.
- Lorraine Dearden & Emla Fitzsimons & Alissa Goodman & Greg Kaplan, 2008. "Higher Education Funding Reforms in England: The Distributional Effects and the Shifting Balance of Costs," Economic Journal, Royal Economic Society, vol. 118(526), pages F100-F125, 02.
- Rustam Ibragimov, 2005. "Copula-Based Dependence Characterizations and Modeling for Time Series," Harvard Institute of Economic Research Working Papers 2094, Harvard - Institute of Economic Research.
- Gagliardini, Patrick & Gourieroux, Christian, 2007. "An efficient nonparametric estimator for models with nonlinear dependence," Journal of Econometrics, Elsevier, vol. 137(1), pages 189-229, March.
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