Common factors in conditional distributions
Year of publication: |
2002-11-20
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Authors: | Granger, Clive W.J. ; Teräsvirta, Timo ; Patton, Andrew J. |
Institutions: | Economics Institute for Research (SIR), Handelshögskolan i Stockholm |
Subject: | bivariate time series | business cycles | conditional distribution | consumption-income relationship | copula | multivariate time-series model |
Series: | |
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Type of publication: | Book / Working Paper |
Notes: | Published in Journal of Econometrics, 2006, pages 43-57. The text is part of a series SSE/EFI Working Paper Series in Economics and Finance Number 515 12 pages |
Classification: | C32 - Time-Series Models ; C53 - Forecasting and Other Model Applications |
Source: |
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