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Nonparametric Estimation of Copulas for Time Series

  • Jean-David FERMANIAN

    (CDC Ixis Capital Markets and CREST)

  • Olivier SCAILLET

    (HEC Genève and FAME, Université de Genève)

We consider a nonparametric method to estimate copulas, i.e. functions linking joint distributions to their univariate margins. We derive the asymptotic properties of kernel estimators of copulas and their derivatives in the context of a multivariate stationary process satisfactory strong mixing conditions. Monte Carlo results are reported for a stationary vector autoregressive process of order one with Gaussian innovations. An empirical illustration containing a comparison with the independent, comotonic and Gaussian copulas is given for European and US stock index returns.

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Paper provided by International Center for Financial Asset Management and Engineering in its series FAME Research Paper Series with number rp57.

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Date of creation: Feb 2003
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Handle: RePEc:fam:rpseri:rp57
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