COPAR - Multivariate time series modeling using the copula autoregressive model

Applied Stochastic Models in Business and Industry

Volumn 31, Issue 4, 2015, Pages 495-514

  Brechmann, Eike Christian ^a   Czado, Claudia ^a  

^a TECHNICAL UNIVERSITY OF MUNICH   (Germany)

Author keywords

copula autoregression; forecasting time series; multivariate time series; vector autoregression; vine copula

Indexed keywords

INVESTMENTS; MULTIVARIANT ANALYSIS; REGRESSION ANALYSIS; TIME SERIES;

AUTOREGRESSION; FORECASTING TIME SERIES; MULTIVARIATE TIME SERIES; VECTOR AUTOREGRESSIONS; VINE COPULA;

TIME SERIES ANALYSIS;

EID: 84937643024     PISSN: 15241904     EISSN: 15264025     Source Type: Journal    
DOI: 10.1002/asmb.2043     Document Type: Article

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