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Document type:
Zeitschriftenaufsatz
Author(s):
Brechmann, E.C., and Czado, C.
Title:
COPAR - Multivariate time series modeling using the COPula AutoRegressive model
Abstract:
Analysis of multivariate time series is a common problem in areas like finance and economics. The classical tool for this purpose are vector autoregressive models. These however are limited to the modeling of linear and symmetric dependence. We propose a novel copula-based model which allows for non-linear and asymmetric modeling of serial as well as between-series dependencies. The model exploits the flexibility of vine copulas which are built up by bivariate copulas only. We descr...    »
Keywords:
multivariate time series, copula autoregression, vector autoregression, vine copula
Dewey Decimal Classification:
510 Mathematik
Journal title:
Applied Stochastic Models in Business and Industry
Year:
2015
Journal volume:
31
Journal issue:
4
Pages contribution:
495-514
Reviewed:
ja
Language:
en
Publisher:
John Wiley and Sons Ltd.
Publisher address:
Chichester, UK
Status:
Verlagsversion / published
Semester:
SS 15
TUM Institution:
Lehrstuhl für Mathematische Statistik
Format:
Text
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