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
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| Authors: | Opschoor, Anne ; Lucas, André ; Barra, István ; Dijk, Dick van |
| Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Abingdon : Taylor & Francis, ISSN 1537-2707, ZDB-ID 2043744-4. - Vol. 39.2021, 4, p. 1066-1079
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| 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 |
| 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