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Document type:
Zeitschriftenaufsatz 
Author(s):
Acar, Elif F., Czado, Claudia and Lysy, Martin 
Title:
Flexible dynamic vine copula models for multivariate time series data 
Abstract:
The representation of temporal patterns is essential to time series analysis. In the case of two or more time series, one needs to account for temporal patterns not only in each univariate series but also in their joint behavior. A multivariate model is proposed here for the specification of time-varying dependence patterns in multivariate time series in a flexible way. The model is built by first addressing the temporal patterns in each series and then modeling the interdependencies among their...    »
 
Dewey Decimal Classification:
510 Mathematik 
Journal title:
Econometrics and Statistics 
Year:
2019 
Journal volume:
12 
Year / month:
2019-10 
Quarter:
4. Quartal 
Month:
Oct 
Journal issue:
12 
Pages contribution:
181-197 
Language:
en 
Publisher:
Elsevier BV 
Publisher address:
Amsterdam, Niederlande 
E-ISSN:
2452-3062 
Date of publication:
01.10.2019 
Semester:
WS 19-20 
TUM Institution:
Professur für Angewandte Mathematische Statistik 
Format:
Text