Quantile and Copula Spectrum: A New Approach to Investigate Cyclical Dependence in Economic Time Series - Aix-Marseille Université Access content directly
Book Sections Year : 2021

Quantile and Copula Spectrum: A New Approach to Investigate Cyclical Dependence in Economic Time Series

Abstract

This chapter presents a survey of some recent methods used in economics and finance to account for cyclical dependence and account for their multifaced dynamics: nonlinearities, extreme events, asymmetries, non-stationarity, time-varying moments. To circumvent the caveats of the standard spectral analysis, new tools are now used based on copula spectrum, quantile spectrum and Laplace periodogram in both non-parametric and parametric contexts. The chapter presents a comprehensive overview of both theoretical and empirical issues as well as a computational approach to explain how the methods can be implemented using the R Package.
No file

Dates and versions

hal-03103726 , version 1 (08-01-2021)

Identifiers

Cite

Gilles Dufrénot, Takashi Matsuki, Kimiko Sugimoto. Quantile and Copula Spectrum: A New Approach to Investigate Cyclical Dependence in Economic Time Series. Gilles Dufrénot; Takashi Matsuki. Recent Econometric Techniques for Macroeconomic and Financial Data, 27, Springer International Publishing, pp.3-34, 2021, Dynamic Modeling and Econometrics in Economics and Finance, 978-3-030-54252-8. ⟨10.1007/978-3-030-54252-8_1⟩. ⟨hal-03103726⟩
30 View
0 Download

Altmetric

Share

Gmail Facebook X LinkedIn More