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A copula-VAR-X approach for industrial production modelling and forecasting
[journal article]
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... view more
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.... view less
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
https://doi.org/10.1080/00036840802112349
Status
Postprint; peer reviewed
Licence
PEER Licence Agreement (applicable only to documents from PEER project)