Forecasting time series with multivariate copulas

DOI10.1515/demo-2015-0005zbMath1328.62546MaRDI QIDQ2351202

Bruno Rémillard, Clarence Simard

Publication date: 23 June 2015

Published in: Dependence Modeling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/demo-2015-0005

zbMATH Keywords

time series; copulas; forecasting; realized volatility

Mathematics Subject Classification ID

62M20: Inference from stochastic processes and prediction

Related Items

Multivariate Markov families of copulas

Cites Work

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