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Copulas and Temporal Dependence

  • Beare, Brendan
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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 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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    File URL: http://www.escholarship.org/uc/item/2880q2jq.pdf;origin=repeccitec
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    Paper provided by Department of Economics, UC San Diego in its series University of California at San Diego, Economics Working Paper Series with number qt2880q2jq.

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    Date of creation: 22 Sep 2008
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    Handle: RePEc:cdl:ucsdec:qt2880q2jq
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    1. Xiaohong Chen & Lars P. Hansen & Marine Carrasco, 2009. "Nonlinearity and Temporal Dependence," Cowles Foundation Discussion Papers 1652R, Cowles Foundation for Research in Economics, Yale University.
    2. Patrick Gagliardini & Christian Gourieroux, 2002. "Duration Time Series Models with Proportional Hazard," Working Papers 2002-21, Centre de Recherche en Economie et Statistique.
    3. McCausland, William J., 2007. "Time reversibility of stationary regular finite-state Markov chains," Journal of Econometrics, Elsevier, vol. 136(1), pages 303-318, January.
    4. Brendan K. Beare, 2007. "A New Mixing Condition," Economics Series Working Papers 348, University of Oxford, Department of Economics.
    5. Chen, Xiaohong & Fan, Yanqin, 2006. "Estimation of copula-based semiparametric time series models," Journal of Econometrics, Elsevier, vol. 130(2), pages 307-335, February.
    6. 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.
    7. 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.
    8. 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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