Construction of leading economic index for recession prediction using vine copulas
Author:
Affiliation:
1. Department of Economics, University at Albany , SUNY , NY 12222 , USA. Tel.: +1 518 442 4758
2. School of Economics, Nanjing University , Nanjing , Jiangsu 210093 , PR China
Abstract
Funder
National Science Foundation of China
Publisher
Walter de Gruyter GmbH
Subject
Economics and Econometrics,Social Sciences (miscellaneous),Analysis,Economics and Econometrics,Social Sciences (miscellaneous),Analysis
Link
https://www.degruyter.com/document/doi/10.1515/snde-2019-0033/pdf
Reference59 articles.
1. Aas, K., C. Czado, A. Frigessi, and H. Bakken. 2009. “Pair-Copula Constructions of Multiple Dependence.” Insurance: Mathematics and Economics 44: 182–198, https://doi.org/10.1016/j.insmatheco.2007.02.001.
2. Acar, E. F., R. V. Craiu, and F. Yao. 2011. “Dependence Calibration in Conditional Copulas: A Nonparametric Approach.” Biometrics 67: 445–453, https://doi.org/10.1111/j.1541-0420.2010.01472.x.
3. Acar, E. F., C. Genest, and J. Nešlehová. 2012. “Beyond Simplified Pair-Copula Constructions.” Journal of Multivariate Analysis 110: 74–90, https://doi.org/10.1016/j.jmva.2012.02.001.
4. Anatolyev, S. 2009. “Multi-Market Direction-Of-Change Modeling Using Dependence Ratios.” Studies in Nonlinear Dynamics & Econometrics 13, https://doi.org/10.2202/1558-3708.1532. Article 5.
5. Bedford, T., and R. M. Cooke. 2001. “Probability Density Decomposition for Conditionally Dependent Random Variables Modeled by Vines.” Annals of Mathematics and Artificial Intelligence 32: 245–268, https://doi.org/10.1023/a:1016725902970.
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