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Please, can anybody give a reference(s) to some good recent review papers about copulas and time series?

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2 Answers 2

I would suggest to look at the following surveys (both available online): H. Manner and O. Reznikova. "A survey on time-varying copulas: Specification, simulations and estimation. Econometric Reviews, forthcoming. A. Patton. "Copula-Based Models for Financial Time Series", 2009, in T.G. Andersen, R.A. Davis, J.-P. Kreiss and T. Mikosch (eds.) Handbook of Financial Time Series, Springer Verlag.


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Here what I found in my e-library the follwing articles (that you can find on arxiv or SSRN) :

Brahimi, Necir - A Semiparametric Estimation of Copula Models Based on the Method of Moments

Chicheportiche, Bouchaud - Goodness-of-Fit tests with Dependent Observations

Amblard, Girard - Estimation Procedures for a Semiparametric Family of Bivariate Copulas

Bergsma - Nonparametric Testing of Conditional Independence by Means of the Partial Copula

Segers - Asymptotics of Empirical Copula Processes under Nonrestrictive Smoothness Assumptions

Segers - Weak Convergence of Empirical Copula Processes under Nonrestrictive Smoothness Assumptions

Otherwise you can check the book by Nelsen "An introduction to copulas"


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