Wavelet Smoothed Empirical Copula Estimators
Pedro A. Morettin, C M C Toloi, Chang Chiann, José Carlos Simon de Miranda · RePEc: Research Papers in Economics · 2010
We introduce copula estimators based on wavelet smoothing of empirical copulas for the case of time series data. We then study the properties of this estimator via simulations and compare its performance with other estimators. Applications to real data are also given.