Economics, Econometrics and Finance
4 years ago

Revolutionizing Copula Models for Time-Dependent Data in Non-Stationary Environments

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SSRN Electronic Journal
Semi-Parametric Copula-Based Models Under Non-Stationarity
Bouchra Nasri, Bruno Rémillard, Taoufik Bouezmarni

Paper Summary

The article discusses a method for analyzing data that changes over time, where the patterns and relationships between variables can also change. The researchers developed a way to estimate these changing relationships and distributions, and found a method to test how well their model fits the data.

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