Jump to ContentJump to Main Navigation
The Methodology and Practice of EconometricsA Festschrift in Honour of David F. Hendry$
Users without a subscription are not able to see the full content.

Jennifer Castle and Neil Shephard

Print publication date: 2009

Print ISBN-13: 9780199237197

Published to Oxford Scholarship Online: September 2009

DOI: 10.1093/acprof:oso/9780199237197.001.0001

Show Summary Details
Page of

PRINTED FROM OXFORD SCHOLARSHIP ONLINE (www.oxfordscholarship.com). (c) Copyright Oxford University Press, 2018. All Rights Reserved. Under the terms of the licence agreement, an individual user may print out a PDF of a single chapter of a monograph in OSO for personal use (for details see www.oxfordscholarship.com/page/privacy-policy).date: 21 October 2018

Pitfalls in Modelling Dependence Structures: Explorations with Copulas *

Pitfalls in Modelling Dependence Structures: Explorations with Copulas *

Chapter:
(p.149) 6 Pitfalls in Modelling Dependence Structures: Explorations with Copulas*
Source:
The Methodology and Practice of Econometrics
Author(s):

Pravin K. Trivedi

David M. Zimmer

Publisher:
Oxford University Press
DOI:10.1093/acprof:oso/9780199237197.003.0006

Tests of co-movements are often formulated as covariance or correlation restrictions in a multivariate (GARCH) framework. Although such a framework permits tests of hypotheses about contemporaneous co-movements such tests do not satisfactorily accommodate co-movements arising from more general models of dependence. This chapter proposes a model based on a finite mixture of copulas to test for co-movements. The mixture model is estimated using a two-step method in which the inference on marginals is separated from inference on the dependence parameter. The method is illustrated using Monte Carlo experiments and by analyzing co-movements in commodity prices using a number of copula mixture models. The analysis reveals the practical difficulties of identifying dependence parameters in a general nonlinear setting.

Keywords:   stochastic dependence, marginal distribution, copulas, finite mixture of copulas, excess co-movement hypothesis

Oxford Scholarship Online requires a subscription or purchase to access the full text of books within the service. Public users can however freely search the site and view the abstracts and keywords for each book and chapter.

Please, subscribe or login to access full text content.

If you think you should have access to this title, please contact your librarian.

To troubleshoot, please check our FAQs , and if you can't find the answer there, please contact us .