Stationary vine copula models for multivariate time series
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Publication:111321
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
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
Cites Work
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