This paper applies a non- and a semiparametric copula-based approach to analyze the first-order autocorrelation of …

the weaker assumption of a model for the copula. For elliptical copulae a 'correlation-like' structure remains but … different margins and non-existence of moments are possible. Moreover, elliptical copulae allow also for a 'copula structure … our copula based approach and the classical approach. Our new method yields a considerable dimension reduction also in non …