Beare, Brendan K. - Department of Economics, University of California-San … - 2009
An emerging literature in time series econometrics concerns the modeling of potentially nonlinear temporal dependence … tail dependence in the copula function. Geometric rho-mixing is obtained under a weaker condition that permits both … asymmetry and tail dependence. We verify one or both of these conditions for a range of parametric copula functions that are …