Morettin Pedro A.; Toloi Clelia M.C.; Chang, Chiann; de … - In: Journal of Time Series Econometrics 3 (2011) 3, pp. 1-31
In this paper, we consider estimating copulas for time series, under mixing conditions, using wavelet expansions. The proposed estimators are based on estimators of densities and distribution functions. Some statistical properties of the estimators are derived and their performance assessed via...
