Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/95257
Authors: 
Bianchi, Carluccio
Carta, Alessandro
Fantazzini, Dean
De Giuli, Maria Elena
Maggi, Mario A.
Year of Publication: 
2009
Series/Report no.: 
Quaderni di Dipartimento 105
Abstract: 
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 Copulas to build flexible multivariate distributions, since they allow for a rich dependence structure and more flexible marginal distributions that better fit the features of empirical data, such as leptokurtosis. We use our approach to forecast industrial production series in the core EMU countries and we provide evidence that the copula-VAR model outperforms or at worst compares similarly to normal VAR models, keeping the same computational tractability of the latter approach.
Subjects: 
Forecasting
Industrial Production
Copulas
VAR models
JEL: 
C13
C32
C51
C53
Document Type: 
Working Paper

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