Majumdar, Anandamayee; Gupta, Rangan - Department of Economics, Faculty of Economic and … - 2014
Given the existence of non-normality and nonlinearity in the data generating process of real house price returns over 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...