BOUEZMARNI, Taoufik; ROMBOUTS, Jeroen V.K.; TAAMOUTI, … - Center for Operations Research and Econometrics (CORE), … - 2008
Copulas are extensively used for dependence modeling. In many cases the data does not reveal how the dependence can be modeled using a particular parametric copula. Nonparametric copulas do not share this problem since they are entirely data based. This paper proposes nonparametric estimation of...