Closed-form multi-factor copula models with observation-driven dynamic factor loadings
Anne Opschoor, André Lucas, István Barra, and Dick van Dijk
| Year of publication: |
2021
|
|---|---|
| Authors: | Opschoor, Anne ; Lucas, André ; Barra, István ; Dijk, Dick van |
| Subject: | Factor copulas | Factor structure | Multivariate density forecast | Score-driven dynamics | Multivariate Verteilung | Multivariate distribution | Prognoseverfahren | Forecasting model | Statistische Verteilung | Statistical distribution | Faktorenanalyse | Factor analysis | Theorie | Theory | Zeitreihenanalyse | Time series analysis | Nichtparametrisches Verfahren | Nonparametric statistics |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07350015.2020.1763806 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012653226