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

Cites Work

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Pair-copula constructions of multiple dependence
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Strictly Proper Scoring Rules, Prediction, and Estimation
Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses
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Uncertainty Analysis with High Dimensional Dependence Modelling
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An introduction to copulas.
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A review of copula models for economic time series
Beyond simplified pair-copula constructions
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COPULA-BASED CHARACTERIZATIONS FOR HIGHER ORDER MARKOV PROCESSES
Copula-based semiparametric models for multivariate time series
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Modeling Financial Time Series with S-PLUS®
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Modeling statistical dependence of Markov chains via copula models
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Cited In (3)

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

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