Asymmetric forecast densities for U.S. macroeconomic variables from a Gaussian copula model of cross-sectional and serial dependence
Michael S. Smith, Shaun P. Vahey
| Year of publication: |
July 2016
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|---|---|
| Authors: | Smith, Michael S. ; Vahey, Shaun P. |
| Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Alexandria, Va. : American Statistical Association, ISSN 0735-0015, ZDB-ID 876122-X. - Vol. 34.2016, 3, p. 416-434
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| Subject: | Copula multivariate time series model | Gaussian copula | Real-time density forecasting | Survey of Professional Forecasters | Vine copula | Prognoseverfahren | Forecasting model | Zeitreihenanalyse | Time series analysis | Multivariate Verteilung | Multivariate distribution | Statistische Verteilung | Statistical distribution | USA | United States | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07350015.2015.1044533 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011691656