Improving forecasting performance using covariate-dependent copula models
Feng Li, Yanfei Kang
| Year of publication: |
2018
|
|---|---|
| Authors: | Li, Feng ; Kang, Yanfei |
| Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 34.2018, 3, p. 456-476
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| Subject: | Covariate-dependent copula | Financial forecasting | Tail-dependence | Kendall's T | MCMC | Prognoseverfahren | Forecasting model | Multivariate Verteilung | Multivariate distribution | Theorie | Theory | Monte-Carlo-Simulation | Monte Carlo simulation | Markov-Kette | Markov chain |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ijforecast.2018.01.007 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012031011