Stationary vine copula models for multivariate time series

DOI10.1016/j.jeconom.2021.11.015OpenAlexW3048564248MaRDI QIDQ111321

Daniel Krüger, Thomas Nagler, Aleksey Min, Daniel Krüger, Aleksey Min

Publication date: April 2022

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2008.05990

zbMATH Keywords

bootstrapMarkov chainforecastingdependencepair-copulasequential maximum likelihood

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Related Items (3)

Probabilistic Time Series Forecasts with Autoregressive Transformation Models ⋮ Time series models with infinite-order partial copula dependence ⋮ svines

Uses Software

• CRAN
• vars
• Rugarch
• rmgarch
• rvinecopulib
• CopulaModel

Cites Work

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