Three-Stage Semi-Parametric Estimation of T-Copulas: Asymptotics, Finite-Sample Properties and Computational Aspects

Computational Statistics and Data Analysis, Forthcoming

50 Pages Posted: 4 Feb 2009

See all articles by Dean Fantazzini

Dean Fantazzini

Moscow School of Economics, Moscow State University; National Research University Higher School of Economics

Date Written: February 3, 2009

Abstract

Genest, C., Ghoudi, K., Rivest, L.P. (1995) proposed a two-stage semi-parametric estimation procedure for a broad class of copulas satisfying minimal regularity conditions. A three-stage semi-parametric estimation method based on Kendall's tau has been recently proposed in the financial literature to estimate the Student's T copula, too. Its major advantage is to allow for greater computational tractability when dealing with high dimensional issues, where two-stage procedures are no more a viable choice. The asymptotic properties of this methodology are developed and its finite-sample behavior are examined via simulations. The pros and cons of this methodology are then analyzed in terms of numerical convergence and positive definiteness of the estimated T-copula correlation matrix.

Keywords: Copulas, Maximum Likelihood, Two-stage estimation, Three-stage estimation, Semi-parametric estimation

JEL Classification: C14, C15, C16, C30, C51

Suggested Citation

Fantazzini, Dean, Three-Stage Semi-Parametric Estimation of T-Copulas: Asymptotics, Finite-Sample Properties and Computational Aspects (February 3, 2009). Computational Statistics and Data Analysis, Forthcoming. Available at SSRN: https://ssrn.com/abstract=1337025

Dean Fantazzini (Contact Author)

Moscow School of Economics, Moscow State University ( email )

GSP-2, Leninskie Gory
Moscow, 119992
Russia
+7 495 5105256 (Phone)
+7 495 5105267 (Fax)

HOME PAGE: https://sites.google.com/site/deanfantazzini/

National Research University Higher School of Economics ( email )

Myasnitskaya street, 20
Moscow, Moscow 119017
Russia

HOME PAGE: http://www.hse.ru/org/persons/11532644

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