Quantile and Copula spectrum : a new approach to investigate cyclical dependence in economic time series

Gilles Dufrénot, Takashi Matsuki, and Kimiko Sugimoto

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.

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Year of publication:	2021
Authors:	Dufrénot, Gilles ; Matsuki, Takashi ; Sugimoto, Kimiko
Published in:	Recent econometric techniques for macroeconomic and financial data. - Cham, Switzerland : Springer, ISBN 978-3-030-54251-1. - 2021, p. 3-34
Subject:	Zeitreihenanalyse \| Time series analysis \| Multivariate Verteilung \| Multivariate distribution \| Schätzung \| Estimation \| Schätztheorie \| Estimation theory \| Konjunktur \| Business cycle \| Nichtparametrisches Verfahren \| Nonparametric statistics

Type of publication:	Article
Type of publication (narrower categories):	Aufsatz im Buch ; Book section
Language:	English
Other identifiers:	10.1007/978-3-030-54252-8_1 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

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