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Keywords:

  • Copula;
  • Markov chain;
  • maximal correlation;
  • mean square contingency;
  • mixing;
  • canonical correlation;
  • tail dependence

An emerging literature in time series econometrics concerns the modeling of potentially nonlinear temporal dependence in stationary Markov chains using copula functions. We obtain sufficient conditions for a geometric rate of mixing in models of this kind. Geometric β-mixing is established under a rather strong sufficient condition that rules out asymmetry and tail dependence in the copula function. Geometric ρ-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 popular in applied work.