Publications [#238565] of Andrew J. Patton

Journal Articles

1. Patton, AJ, A review of copula models for economic time series, Journal of Multivariate Analysis, vol. 110 (September, 2012), pp. 4-18, Elsevier BV, ISSN 0047-259X [doi]
   (last updated on 2026/01/15)

   Abstract:
   This survey reviews the large and growing literature on copula-based models for economic and financial time series. Copula-based multivariate models allow the researcher to specify the models for the marginal distributions separately from the dependence structure that links these distributions to form a joint distribution. This allows for a much greater degree of flexibility in specifying and estimating the model, freeing the researcher from considering only existing multivariate distributions. The author surveys estimation and inference methods and goodness-of-fit tests for such models, as well as empirical applications of these copulas for economic and financial time series. © 2012 Elsevier Inc.