Publications [#238545] of Andrew J. Patton

Journal Articles

1. Fan, Y; Patton, AJ, Copulas in econometrics, Annual Review of Economics, vol. 6 no. 1 (January, 2014), pp. 179-200, ANNUAL REVIEWS, ISSN 1941-1383 [doi]
   (last updated on 2026/01/15)

   Abstract:
   Copulas are functions that describe the dependence between two or more random variables. This article provides a brief review of copula theory and two areas of economics in which copulas have played important roles: multivariate modeling and partial identification of parameters that depend on the joint distribution of two random variables with fixed or known marginal distributions. We focus on bivariate copulas but provide references on recent advances in constructing higher-dimensional copulas. © 2014 by Annual Reviews. All rights reserved.