Jinguo, Gong; Daimin, Shi; Weiou, Wu; David, McMillan - In: Studies in Nonlinear Dynamics & Econometrics 19 (2015) 1, pp. 93-106
The correlation structure of financial assets is a key input with regard to portfolio and risk management. In this paper, we propose a non-parametric estimation method for the time-varying copula parameter. This is achieved in two steps: first, displaying the marginal distributions of financial...