Título Inglês:
Wavelet smoothed empirical copula estimators
Resumo:
O objetivo desse artigo é introduzir estimadores suavizados de cópulas via ondaletas para o caso de séries temporais. As propriedades dos estimadores são avaliadas por meio de simulações e seu desempenho comparado com outros estimadores. Aplicações a dados reais também são feitas.
Resumo Inglês:
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.
Citação ABNT:
MORETTIN, P. A.; TOLOI, C. M. C.; CHIANN, C.; MIRANDA, J. C. S. Wavelet smoothed empirical copula estimators. Revista Brasileira de Finanças, v. 8, n. 3, art. 121, p. 263-281, 2010.
Citação APA:
Morettin, P. A., Toloi, C. M. C., Chiann, C., & Miranda, J. C. S. (2010). Wavelet smoothed empirical copula estimators. Revista Brasileira de Finanças, 8(3), 263-281.
Link Permanente:
https://www.spell.org.br/documentos/ver/4521/wavelet-smoothed-empirical-copula-estimators/i/pt-br
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