Quantile and Copula Spectrum: A New Approach to Investigate Cyclical Dependence in Economic Time Series

  • Gilles Dufrénot
  • Takashi MatsukiEmail author
  • Kimiko Sugimoto
Part of the Dynamic Modeling and Econometrics in Economics and Finance book series (DMEF, volume 27)


This chapter presents a survey of some recent methods used in economics and finance to account for cyclical dependence and account for their multifaced dynamics: nonlinearities, extreme events, asymmetries, non-stationarity, time-varying moments. To circumvent the caveats of the standard spectral analysis, new tools are now used based on copula spectrum, quantile spectrum and Laplace periodogram in both non-parametric and parametric contexts. The chapter presents a comprehensive overview of both theoretical and empirical issues as well as a computational approach to explain how the methods can be implemented using the R Package.


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Copyright information

© Springer Nature Switzerland AG 2021

Authors and Affiliations

  • Gilles Dufrénot
    • 1
  • Takashi Matsuki
    • 2
    Email author
  • Kimiko Sugimoto
    • 3
  1. 1.Aix-Marseille School of EconomicsMarseilleFrance
  2. 2.Osaka Gakuin UniversitySuitaJapan
  3. 3.Konan UniversityNishinomiyaJapan

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