On the Predictive Content of Autoregression Residuals: A Semiparametric, Copula-Based Approach to Time Series Prediction-Reference-Cited by-同舟云学术

On the Predictive Content of Autoregression Residuals: A Semiparametric, Copula-Based Approach to Time Series Prediction

Published:2012-01-23 Issue:4 Volume:32 Page:353-368
ISSN:0277-6693
Container-title:Journal of Forecasting
language:en
Short-container-title:J. Forecast.

Author:

Herwartz Helmut¹

Affiliation:

1. Institute for Statistics and Econometrics; Christian-Albrechts-University Kiel; Olshausenstrasse 40-60; D-24118 Kiel; Germany

Publisher

Wiley

Subject

Management Science and Operations Research,Statistics, Probability and Uncertainty,Strategy and Management,Computer Science Applications,Modeling and Simulation

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1002/for.2241/fullpdf

Reference21 articles.

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3. Copula Methods in Finance

4. Exploring the international linkages of the euro area: a global VAR analysis;Dees;Journal of Applied Econometrics,2007

5. Comparing predictive accuracy;Diebold;Journal of Business and Economic Statistics,1988

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