Copula-based time series with filtered nonstationarity

DOI10.1016/j.jeconom.2020.10.008OpenAlexW3044670813MaRDI QIDQ2116363

Yanyan Li

Publication date: 16 March 2022

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://cowles.yale.edu/sites/default/files/files/pub/d22/d2242.pdf

zbMATH Keywords

nonlinearitycointegrationunit rootnonstationaritysemiparametricgenerated regressorstail dependenceGNP and CAY residualsresidual copula

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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Cites Work

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