Special Issue "Recent Developments in Copula Models"
A special issue of Econometrics (ISSN 2225-1146).
Deadline for manuscript submissions: closed (31 March 2017).
Interests: dependence models; financial econometrics; credit risk
For twenty years, copula models have been more and more studied in the academic literature, and been used extensively among practitioners. Due to the high amount of flexibility they allow, they have been popularized in almost all domains of stochastic modeling and statistics, in particular economics, econometrics and finance. A lot of new families of models have emerged, as pair-copula constructions, and more classical frameworks (M-estimators, GARCH models, etc.) have been revisited with a copula-related point of view. The semi-parametric and/or multi-step nature of most copula model specifications has fueled the necessity of developing convenient asymptotic results and probabilistic tools, based on empirical processes for instance. Time-dependent dependence structures, typically in markovian time series, set difficult questions and recent progresses have been made towards this direction. This special issue will provide cutting-edge new results and models in this stream of research, with emphasis (but not exclusively) on their relevance in financial econometrics and economics/finance more generally. Theoretical papers are welcome, but empirical illustrations are highly encouraged.
Prof. Dr. Jean-David Fermanian
Manuscript Submission Information
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- dependence measures