Copula Methods for Forecasting Multivariate Time Series
نویسنده
چکیده
Copula-based models provide a great deal of exibility in modelling multivariate distributions, allowing the researcher to specify the models for the marginal distributions separately from the dependence structure (copula) that links them to form a joint distribution. In addition to exibility, this often also facilitates estimation of the model in stages, reducing the computational burden. This chapter reviews the growing literature on copula-based models for economic and nancial time series data, and discusses in detail methods for estimation, inference, goodness-of- t testing, and model selection that are useful when working with these models. A representative data set of two daily equity index returns is used to illustrate all of the main results.
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