Bouezmarni, Taoufik; Rombouts, Jeroen V. K.; Taamouti, … - Departamento de Economía, Universidad Carlos III de Madrid - 2008
Copulas are extensively used for dependence modeling. In many cases the data does not reveal how the dependence can be modeled using a particular parametric copula. Nonparametric copulas do not share this problem since they are entirely data based. This paper proposes nonparametric estimation of...