Econometrica

Journal Of The Econometric Society

An International Society for the Advancement of Economic
Theory in its Relation to Statistics and Mathematics

Edited by: Guido W. Imbens • Print ISSN: 0012-9682 • Online ISSN: 1468-0262

Econometrica: Jan, 2010, Volume 78, Issue 1

Copulas and Temporal Dependence

https://doi.org/10.3982/ECTA8152
p. 395-410

Brendan K. Beare

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 ‐mixing is established under a rather strong sufficient condition that rules out asymmetry and tail dependence in the copula function. Geometric ‐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.


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Supplemental Material

Supplement to "Copulas and Temporal Dependence"

This supplementary appendix contains proofs of the theorems given in the author's paper.

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