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Quantile and Copula Spectrum: A New Approach to Investigate Cyclical Dependence in Economic Time Series

Abstract : This chapter presents a survey of some recent methods used in economics and finance to account for cyclical dependence and account for their multifaced dynamics: nonlinearities, extreme events, asymmetries, non-stationarity, time-varying moments. To circumvent the caveats of the standard spectral analysis, new tools are now used based on copula spectrum, quantile spectrum and Laplace periodogram in both non-parametric and parametric contexts. The chapter presents a comprehensive overview of both theoretical and empirical issues as well as a computational approach to explain how the methods can be implemented using the R Package.
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https://hal-amu.archives-ouvertes.fr/hal-03103726
Contributor : Elisabeth Lhuillier <>
Submitted on : Friday, January 8, 2021 - 12:16:37 PM
Last modification on : Wednesday, March 31, 2021 - 11:30:52 AM

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Gilles Dufrénot, Takashi Matsuki, Kimiko Sugimoto. Quantile and Copula Spectrum: A New Approach to Investigate Cyclical Dependence in Economic Time Series. Gilles Dufrénot; Takashi Matsuki. Recent Econometric Techniques for Macroeconomic and Financial Data, 27, Springer International Publishing, pp.3-34, 2021, Dynamic Modeling and Econometrics in Economics and Finance, 978-3-030-54252-8. ⟨10.1007/978-3-030-54252-8_1⟩. ⟨hal-03103726⟩

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