Copula Methods for Forecasting Multivariate Time Series

作者： Andrew Patton

DOI: 10.1016/B978-0-444-62731-5.00016-6

关键词: Volatility (finance) 、 Multivariate statistics 、 Marginal distribution 、 Joint probability distribution 、 Economics 、 Econometrics 、 Inference 、 Copula (probability theory) 、 Time series 、 Model selection

摘要: … on copula-based models for forecasting economic and financial time series data. Copula-… distributions separately from the dependence structure (copula) that links these distributions to …

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