article · Annual Review of Economics · 2014
Copulas in Econometrics
Cited by 90Open access
Abstract
Copulas are functions that describe the dependence between two or more random variables. This article provides a brief review of copula theory and two areas of economics in which copulas have played important roles: multivariate modeling and partial identification of parameters that depend on the joint distribution of two random variables with fixed or known marginal distributions. We focus on bivariate copulas but provide references on recent advances in constructing higher-dimensional copulas.
Cite this paper
Fan, Y., & Patton, A. J. (2014). Copulas in Econometrics. Annual Review of Economics, 6(1), 179–200. https://doi.org/10.1146/annurev-economics-080213-041221
Fan, Yanqin, and Andrew J. Patton. “Copulas in Econometrics.” Annual Review of Economics, vol. 6, no. 1, 2014, pp. 179–200, https://doi.org/10.1146/annurev-economics-080213-041221.
Fan, Yanqin, and Andrew J. Patton. 2014. “Copulas in Econometrics.” Annual Review of Economics 6 (1): 179–200. https://doi.org/10.1146/annurev-economics-080213-041221.
Fan, Y. and Patton, A.J. (2014) ‘Copulas in Econometrics’, Annual Review of Economics, 6(1), pp. 179–200. Available at: https://doi.org/10.1146/annurev-economics-080213-041221.
@article{fan2014copulas,
title = {{Copulas in Econometrics}},
author = {Fan, Yanqin and Patton, Andrew J.},
journal = {Annual Review of Economics},
volume = {6},
number = {1},
pages = {179--200},
year = {2014},
doi = {10.1146/annurev-economics-080213-041221}
}Made from the index record. Check names, capitalisation and page numbers against the paper. Need another style? AI for Research has over 10,000.