3
$\begingroup$

I need to understand the difference between time varying copula (Patton, 2006) and dynamic copula.

  • For the time varying copula, is it when the parameters of copula follow ARMA($p$,$q$)?
  • Is that when the marginals are modeled by GARCH or ARMA, so the copula will be dynamic?

References

Improve this question
$\endgroup$
4
  • 1
    $\begingroup$ Could you give references for time-varying copula and dynamic copula? $\endgroup$
    – Richard Hardy
    Commented Apr 2, 2016 at 15:43
  • $\begingroup$ MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE Patton(2006) $\endgroup$
    – A.Laila
    Commented Apr 2, 2016 at 15:48
  • 1
    $\begingroup$ I cannot see dynamic copula mentioned in Patton (2006)... Do you have a reference for dynamic copula? $\endgroup$
    – Richard Hardy
    Commented Apr 2, 2016 at 15:57
  • $\begingroup$ R.F. Engle, Dynamic conditional correlation: a simple class of multivariateGARCHmodels $\endgroup$
    – A.Laila
    Commented Apr 18, 2016 at 15:20

1 Answer 1

Reset to default
2
$\begingroup$

Time-varying copula and dynamic copulas are the same. The parameters of time-varying Copula are not constant meaning that every parameter has a dynamic equation.

Improve this answer
$\endgroup$
3
  • $\begingroup$ Could you provide any reference to support your statement? $\endgroup$
    – Richard Hardy
    Commented Apr 18, 2016 at 18:07
  • $\begingroup$ There are many .. take a look on this article papers.ssrn.com/sol3/papers.cfm?abstract_id=2556623 .. precisely, first note page 17 .. the authors use Manthos Vogiatzoglou's toolbox to calculate time-varying (dynamic) copulas $\endgroup$
    – Nourhaine Nefzi
    Commented Apr 19, 2016 at 11:27
  • $\begingroup$ Is the reason why the ARMA-GARCH model is called time-varying, whereas ARIMA model is said to be based on constant copula only due to the former possessing a GARCH component? $\endgroup$
    – develarist
    Commented Jan 13, 2021 at 15:21

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service and acknowledge you have read our privacy policy.

Not the answer you're looking for? Browse other questions tagged or ask your own question.