Forecasting time series with multivariate copulas
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Publication:2351202
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Cites work
- A new look at the statistical model identification
- A Tale of Two Time Scales
- An introduction to copulas. Properties and applications
- Asymptotic theory of weakly dependent stochastic processes
- Copula-based semiparametric models for multivariate time series
- Copulas and temporal dependence
- Estimation of copula-based semiparametric time series models
- scientific article; zbMATH DE number 2152218 (Why is no real title available?)
- Measuring volatility with the realized range
- On testing for independence between the innovations of several time series
- Pair-copula constructions of multiple dependence
- R-vine models for spatial time series with an application to daily mean temperature
- Statistical methods for financial engineering
- Tests of independence and randomness based on the empirical copula process
- The Distribution of Realized Exchange Rate Volatility
- The meta-elliptical distributions with given marginals
- The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets
- Time series: theory and methods.
- Vine copula specifications for stationary multivariate Markov chains
Cited in
(18)- Stationary vine copula models for multivariate time series
- Comparing the accuracy of multivariate density forecasts in selected regions of the copula support
- Selego: robust variate selection for accurate time series forecasting
- Copulas-based time series combined forecasters
- Prediction and independence
- Application of joint permutations for predicting coupled time series
- On the predictive content of autoregression residuals: a semiparametric, copula-based approach to time series prediction
- Forecasting multivariate time series with the theta method
- scientific article; zbMATH DE number 913712 (Why is no real title available?)
- Forecasting and prequential validation for time varying meta-elliptical distributions
- Economic forecasting based on copula quantile curves and beliefs
- Forecasting multivariate longitudinal binary data with marginal and marginally specified models
- Functional relation field: a model-agnostic framework for multivariate time series forecasting
- Forecasting natural gas prices with spatio-temporal copula-based time series models
- A new family of copulas based on probability generating functions
- Maximum likelihood estimation of multivariate regime switching Student-t copula models
- Enhancing univariate time series forecasting: a general tree-based model selection approach
- Multivariate Markov families of copulas
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