I want to estimate a copula for the innovations of two dependent time series (A and B). I have found no reference with a step by step on how to do this. I have only found summarized papers from which I am not able to get the details.
Would you have a reference for this subject?
Section 4 of Nonparametric Estimation Of Copulas For Time Series, by JD Fermanian, O Scaillet is an example.
Page 14 of Estimating copula densities through wavelets, by Genest, Masiello, Tribouley is another example. Here the author states that he estimates the copula "once the effect of time has been filtered out". And then he gets figure 9 c). But I do not understand what the author means with "filtering time out".