Härdle, Wolfgang; Okhrin, Ostap - 2009
Normal distribution of the residuals is the traditional assumption in the classical multivariate time series models … model provide better results than those based on the normal distribution. -- copula ; multivariate distribution ; value …
Wolfgang Karl H ardley, Ostap Okhrinz
May 27, 2009
Abstract: Normal distribution of the residuals is the traditional assumption …