Common factors in conditional distributions for bivariate time series

Journal of Econometrics

Volumn 132, Issue 1, 2006, Pages 43-57

  Granger, Clive W J ^a   Teräsvirta, Timo ^b   Patton, Andrew J ^c  

^a UNIVERSITY OF CALIFORNIA   (United States)

^b STOCKHOLM SCHOOL OF ECONOMICS   (Sweden)

^c LONDON SCHOOL OF ECONOMICS   (United Kingdom)

Author keywords

Common factor; Conditional distribution; Copula; Dominant property

Indexed keywords

ECONOMICS; INTELLECTUAL PROPERTY; STANDARDS;

COMMON FACTOR; CONDITIONAL DISTRIBUTION; COPULA; DOMINANT PROPERTY;

TIME SERIES ANALYSIS;

EID: 33646146706     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2005.01.022     Document Type: Article

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