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Copulas and Temporal Dependence

  • Author(s): Beare, Brendan
  • et al.
Abstract

An emerging literature in time series econometrics concerns the modeling of potentially nonlinear temporal dependence in stationary Markov chains using copula functions. We obtain conditions that imply a geometric rate of mixing in models of this kind. A geometric rate of beta-mixing is shown to obtain under a rather strong condition that rules out asymmetry and tail dependence in the copula function. Rho-mixing, which implies a geometric rate of alpha-mixing, is obtained under a much weaker condition. We verify one or both of these conditions for a range of parametric copula functions that are opular in applied work.

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