Modeling Multivariate Time Series With Copula-Linked Univariate D-Vines

DOI10.1080/07350015.2020.1859381MaRDI QIDQ6620894zbMATH OpenFDO

Authors Zifeng Zhao, Peng Shi, Zhengjun Zhang

Publication date 17 October 2024

Published in Journal of Business and Economic Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07350015.2020.1859381

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites work

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Cited in

(3)

• A zero serial cross-correlation test before fitting heteroscedasticity
• EBICOP: ensemble bivariate copulas for modeling multivariate cyber data breach risks
• Semiparametric and parametric distributional forecasting of univariate time series using non-Gaussian ARMA models based on D-vines

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