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

DOI10.1002/ASMB.2043MaRDI QIDQ6574650zbMATH OpenFDO

Authors Eike Christian Brechmann, Claudia Czado

Publication date 18 July 2024

Published in Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

zbMATH Keywords

multivariate time seriesvine copulavector autoregressionforecasting time seriescopula autoregression

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

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Cited in

(3)

• Modeling Multivariate Time Series With Copula-Linked Univariate D-Vines
• Real-Time Macroeconomic Forecasting With a Heteroscedastic Inversion Copula
• Forecasting natural gas prices with spatio-temporal copula-based time series models

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