Mendes, Beatriz Vaz de Melo; Lopes, Silvia Regina Costa - In: Frontiers in Finance and Economics 8 (2011) 2, pp. 89-111
This paper extends the evolution equation of Patton (2006) for the time variation of the copula parameters by specifying an autoregressive fractionally integrated term. For any copula parameter there is a suitable one-to-one transformation so that the maximum likelihood estimation method may be...
