Stationary vine copula models for multivariate time series
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DOI: 10.1016/j.jeconom.2021.11.015
Abstract: Multivariate time series exhibit two types of dependence: across variables and across time points. Vine copulas are graphical models for the dependence and can conveniently capture both types of dependence in the same model. We… read more here.
Keywords: stationary vine; time; time series; multivariate time ... See more keywords