Common factors in conditional distributions for bivariate time series

DOI10.1016/j.jeconom.2005.01.022zbMath1337.62263OpenAlexW3121495646MaRDI QIDQ291623

Timo Teräsvirta, Clive W. J. Granger, Andrew J. Patton

Publication date: 10 June 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2005.01.022

zbMATH Keywords

copulaconditional distributioncommon factordominant property

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites Work

• An introduction to copulas. Properties and applications
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Autoregressive Conditional Density Estimation
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