Copula Methods for Forecasting Multivariate Time Series-Reference-Cited by-同舟云学术

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Copula Methods for Forecasting Multivariate Time Series

Published:2013 Issue: Volume: Page:899-960
ISSN:1574-0706
Container-title:Handbook of Economic Forecasting
language:
Short-container-title:

Author:

Patton Andrew

Publisher

Elsevier

Reference144 articles.

1. Pair-copula constructions of multiple dependence;Aas;Insurance: Mathematics and Economics,2009

2. Comparing density forecasts via weighted likelihood ratio tests;Amisano;Journal of Business and Economic Statistics,2007

3. Volatility and correlation forecasting;Andersen,2006

4. Tests for parameter instability and structural change with an unknown change point;Andrews;Econometrica,1993

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