COPAR -- multivariate time series modeling using the copula autoregressive model

DOI10.1002/ASMB.2043MaRDI QIDQ6574650zbMATH OpenFDO

Authors Eike Christian Brechmann, Claudia Czado

Publication date 18 July 2024

Published in Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/ASMB.2043

zbMATH Keywords

multivariate time seriesvine copulavector autoregressionforecasting time seriescopula autoregression

Mathematics Subject Classification ID

Statistics (62-XX)

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Cited in

(4)

• Forecasting natural gas prices with spatio-temporal copula-based time series models
• Modeling Multivariate Time Series With Copula-Linked Univariate D-Vines
• Real-Time Macroeconomic Forecasting With a Heteroscedastic Inversion Copula
• A zero serial cross-correlation test before fitting heteroscedasticity

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