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


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


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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.
Klassifikation Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik
Freie Schlagwörter Forecasting; Industrial Production; Copulas; VAR models
Sprache Dokument Englisch
Publikationsjahr 2009
Seitenangabe S. 3267-3277
Zeitschriftentitel Applied Economics, 42 (2009) 25
DOI http://dx.doi.org/10.1080/00036840802112349
Status Postprint; begutachtet (peer reviewed)
Lizenz PEER Licence Agreement (applicable only to documents from PEER project)