This paper provides a new approach to recover relative entropy measures of contemporaneous dependence from limited information by constructing the most entropic copula (MEC) and its canonical form, namely the most entropic canonical copula (MECC). The MECC can effectively be obtained by...

When a pair of independent series are highly persistent, there is a spurious regression bias in a regression between these series, closely related to the classic studies of Granger and Newbold [1974]. Although this is well known to occur with independent I(1) processes, this paper provides...