Parts of this paper derive from my doctoral research at Yale University. I thank my advisor Peter Phillips and committee members Donald Andrews and Yuichi Kitamura for their support and advice. I also thank Xiaohong Chen, Rustam Ibragimov, Bent Nielsen, Andres Santos, and three anonymous referees for helpful comments. Financial support from the Cowles Foundation under a Carl Arvid Anderson Prize Fellowship is gratefully acknowledged.
Copulas and Temporal Dependence
Version of Record online: 8 FEB 2010
© 2010 The Econometric Society
Volume 78, Issue 1, pages 395–410, January 2010
How to Cite
Beare, B. K. (2010), Copulas and Temporal Dependence. Econometrica, 78: 395–410. doi: 10.3982/ECTA8152
- Issue online: 8 FEB 2010
- Version of Record online: 8 FEB 2010
- Manuscript received September, 2008; final revision received June, 2009.
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