Panchenko, Valentyn; Prokhorov, Artem - Department of Economics, Concordia University - 2011
Recent literature on semiparametric copula models focused on the situation when the marginals are specified nonparametrically and the copula function is given a parametric form. For example, this setup is used in Chen, Fan and Tsyrennikov (2006) [Efficient Estimation of Semiparametric...