Copula Methods for Economic Time Series

June 14-15, 2012

Title: Copula Methods for Economic Time Series

Location: Department of Economics and Business, Bartholins Allé
Organized by CREATES

  • Lecturer: Andrew Patton, Duke University
  • Course description: This course will introduce copulas as a tool for modeling multivariate distributions. We will study their theoretical properties, and then consider estimation and inference for copula models, with emphasis on time series data. We will cover results from the econometrics and statistics literature on multi-stage estimation, semiparametric and nonparametric estimation, and goodness-of-fit testing for this class of models. Throughout the course we will discuss possible avenues for future research in this area.
  • References: These lectures will be based on Patton (2012), my survey chapter on this topic, forthcoming in the Handbook of Economic Forecasting. More introductory material will be taken from Nelson (2006, “Introduction to Copulas”), and more advanced material will be taken from recent working papers in this area.
  • Download chapter: Copula Methods for Forecasting Multivariate Time Series
  • Registration (closed)
  • Price: 0 DKK for participants from AU, KU, CBS or SDU, and Nordic universities outside Denmark; 200 Euro for other participants.
  • The course is scheduled from 10-12 (lunch break) 13-15.
  • The will be a course dinner on Thursday evening.