Copula methods for forecasting multivariate time series
Andrew Patton (Duke University, NC, USA)
| Year of publication: |
[2013]
|
|---|---|
| Authors: | Patton, Andrew J. |
| Published in: |
Handbook of economic forecasting ; Volume 2B. - Amsterdam : North Holland, ISBN 978-0-444-62731-5. - 2013, p. 899-960
|
| Subject: | dependence | correlation | tail risk | volatility | density forecasting | Zeitreihenanalyse | Time series analysis | Korrelation | Correlation | Volatilität | Volatility | Statistische Verteilung | Statistical distribution | Prognoseverfahren | Forecasting model |