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Copula Methods for Forecasting Multivariate Time Series · Study

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ChapterCopula Methods for Forecasting Multivariate Time Series

Andrew J. Patton2013

Chapter2013

Copula Methods for Forecasting Multivariate Time Series

Andrew J. Patton

323 citations·0/0 files stored·Handbook of economic forecasting

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Complex Systems and Time Series Analysis

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References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 1999An Introduction to Copulas 1995Multivariate Simultaneous Generalized ARCH 1993Tests for Parameter Instability and Structural Change With Unknown Change Point 1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return

Cited by

2016Time-Varying Systemic Risk: Evidence From a Dynamic Copula Model of CDS Spreads 2015Modeling Dependence in High Dimensions With Factor Copulas 2015Extreme risk spillovers between crude oil and stock markets 2023Economic growth, nuclear energy, renewable energy, and environmental quality: Investigating the environmental Kuznets curve and load capacity curve hypothesis 2014Dynamic copula models and high frequency data

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2014Copulas in Econometricsreview · 23 shared references 2012A review of copula models for economic time seriesarticle · 22 shared references 2009Copula–Based Models for Financial Time Serieschapter · 22 shared references 2015Are benefits from oil–stocks diversification gone? New evidence from a dynamic copula and high frequency dataarticle · 15 shared references 2017Modeling Systemic Risk: Time-Varying Tail Dependence When Forecasting Marginal Expected Shortfallarticle · 15 shared references 2013Simulated Method of Moments Estimation for Copula-Based Multivariate Modelsarticle · 14 shared references

Details

Year2013

Typechapter

Published2013-01-01

VenueHandbook of economic forecasting

ISSN-L1574-0706

Languageen

Citations323

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/b978-0-444-62731-5.00016-6

openalex_workW2268207689

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2018Which is the safe haven for emerging stock markets, gold or the US dollar?

2013Copula Modelling of Dependence in Multivariate Time Series

2013Time-Varying Systemic Risk: Evidence from a Dynamic Copula Model of CDS Spreads