Document Search
Add To My Bookshelf Sign in or Register Save And Annotate
Keywords:

copula sign in to follow this
dependence sign in to follow this
macroeconomic data sign in to follow this
industrial production sign in to follow this
Categories:

VaR Uses sign in to follow this
--Nonfinancial/Long Term sign in to follow this
Half-Life:
Impact:
Discuss This Paper
Sign in to follow this page
Recent Comments
  more
A Copula-VAR-X approach for Industrial Production Modelling
Company: University of Pavia
Company Url: Click here to open
Year Of Publication: 2006
Month Of Publication: October
Pages: 17
Download Count: 5
View Count: 1211
Comment Num: 0
Language: English
Who Can Read: Free
Date: 5-30-2010
Publisher: Administrator
Summary
World economies, and especially European ones, have become strongly interconnected
in the last decades and a joint modelling is required. We propose here the use of Cop-
ulas to build flexible multivariate distributions, since they allow for a rich dependence
structure and more flexible marginal distributions that better fit the features of empiri-
cal data, such as leptokurtosis. We use our approach to forecast industrial productions
series in the core EMU countries and we provide evidence that the copula-VAR model
outperforms or at worst compares similarly to standard VAR models.
Author(s)
Fantazzini, Dean Sign in to follow this author
De Giuli, Maria Elena Sign in to follow this author
Maggi, Mario A. Sign in to follow this author
Bianchi, Carluccio Sign in to follow this author
Carta, Alessandro Sign in to follow this author
This document's citation network:
Similar Documents:
Close window
Sign up in one step, no personal information required. Already a Member?



Email:
Repeat Email:
User Name:
Password:
Confirm Password:

Sign Up


Welcome to GloriaMundi!
Thanks for singning up



continue or edit your profile