Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/95257 
Erscheinungsjahr: 
2009
Schriftenreihe/Nr.: 
Quaderni di Dipartimento No. 105
Verlag: 
Università degli Studi di Pavia, Dipartimento di Economia Politica e Metodi Quantitativi (EPMQ), Pavia
Zusammenfassung: 
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.
Schlagwörter: 
Forecasting
Industrial Production
Copulas
VAR models
JEL: 
C13
C32
C51
C53
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
283.24 kB





Publikationen in EconStor sind urheberrechtlich geschützt.