Wavelet Smoothed Empirical Copula Estimators
We introduce copula estimators based on wavelet smoothing of empirical copulas for the case of time series data. We then study the properties of this estimator via simulations and compare its performance with other estimators. Applications to real data are also given.
| Main Authors: | , , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Brazilian Society of Finance
2010-10-01
|
| Series: | Revista Brasileira de Finanças |
| Subjects: | |
| Online Access: | http://virtualbib.fgv.br/ojs/index.php/rbfin/article/view/2699 |