Hallin, Marc; Dette, Holger; Kley, Tobias; Volgushev, … - European Centre for Advanced Research in Economics and … - 2011
In this paper we present an alternative method for the spectral analysis of a strictly stationary time series {Yt}t2Z. We define a “new” spectrum as the Fourier transform of the differences between copulas of the pairs (Yt, Yt−k) and the independence copula. This object is called copula...
