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A copula-VAR-X approach for industrial production modelling and forecasting

[journal article]

Bianchi, Carluccio; Carta, Alessandro; Fantazzini, Dean; De Giuli, Maria Elena; Maggi, Mario A.

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Please use the following Persistent Identifier (PID) to cite this document:http://nbn-resolving.de/urn:nbn:de:0168-ssoar-241925

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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.
Classification Economic Statistics, Econometrics, Business Informatics
Free Keywords Forecasting; Industrial Production; Copulas; VAR models
Document language English
Publication Year 2009
Page/Pages p. 3267-3277
Journal Applied Economics, 42 (2009) 25
DOI http://dx.doi.org/10.1080/00036840802112349
Status Postprint; peer reviewed
Licence PEER Licence Agreement (applicable only to documents from PEER project)