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A copula-VAR-X approach for industrial production modelling and forecasting
[Zeitschriftenartikel]
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 distr... mehr
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.... weniger
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
https://doi.org/10.1080/00036840802112349
Status
Postprint; begutachtet (peer reviewed)
Lizenz
PEER Licence Agreement (applicable only to documents from PEER project)