Evidence on copula-based double-hurdle models with flexible margins

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Authors

I consider copula-based double-hurdle models with flexible marginal distributions. While the copula must be specified in advance, the marginal distributions are assumed to belong to a quite general class of distributions and need not be specified by the researcher in advance. A simulation study indicates that the copula-based double-hurdle models with flexible margins perform well even when the selected copula has been misspecified. An empirical application shows that copula-based double-hurdle models with flexible margins may outperform the conventionally used classical double-hurdle model based on a bivariate normality assumption.
Original languageEnglish
JournalEmpirical Economics
Volume51
Issue number1
Pages (from-to)245-289
Number of pages45
ISSN0377-7332
DOIs
Publication statusPublished - 01.08.2016

    Research areas

  • Economics
  • Archimedean copulas, Copulas, Double-hurdle model, Flexible margins

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  1. Fabian Elfeld

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