Majumdar, Anandamayee; Gupta, Rangan - Department of Economics, Faculty of Economic and … - 2014
the period of 1831-2013, this paper compares the ability of various univariate copula models, relative to standard … benchmarks (naive and autoregressive models) in forecasting real US house price over the annual out-of-sample period of 1859 …-2013, based on an in-sample of 1831-1858. Overall, our results provide overwhelming evidence in favor of the copula models (Normal …