Improving forecasting performance using covariate-dependent copula models
Sign Up to like & getrecommendations! Published in 2018 at "International Journal of Forecasting"
DOI: 10.1016/j.ijforecast.2018.01.007
Abstract: Abstract Copulas provide an attractive approach to the construction of multivariate distributions with flexible marginal distributions and different forms of dependences. Of particular importance in many areas is the possibility of forecasting the tail-dependences explicitly.… read more here.
Keywords: covariate dependent; forecasting performance; approach; copula ... See more keywords