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A copula-VAR-X approach for industrial production modelling and forecasting
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Bianchi, Carluccio, Carta, Alessandro, Fantazzini, Dean, De Giuli, Maria Elena and Maggi, Mario A. (2010) A copula-VAR-X approach for industrial production modelling and forecasting. Applied Economics, Vol.42 (No.25). pp. 3267-3277. doi:10.1080/00036840802112349 ISSN 0003-6846.
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Official URL: http://dx.doi.org/10.1080/00036840802112349
Abstract
World economies, and especially European ones, have become strongly interconnected in the last decade and a joint modelling is required. We propose here the use of copulae 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 European Monetary Union (EMU) countries and we provide evidence that the copula-Vector Autoregression (VAR) model outperforms or at worst compares similarly to normal VAR models, keeping the same computational tractability of the latter approach.
Item Type: | Journal Article | ||||
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Subjects: | H Social Sciences > HC Economic History and Conditions | ||||
Divisions: | Faculty of Science, Engineering and Medicine > Science > Statistics | ||||
Journal or Publication Title: | Applied Economics | ||||
Publisher: | Taylor & Francis Ltd. | ||||
ISSN: | 0003-6846 | ||||
Official Date: | 2010 | ||||
Dates: |
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Volume: | Vol.42 | ||||
Number: | No.25 | ||||
Number of Pages: | 11 | ||||
Page Range: | pp. 3267-3277 | ||||
DOI: | 10.1080/00036840802112349 | ||||
Status: | Peer Reviewed | ||||
Publication Status: | Published | ||||
Access rights to Published version: | Restricted or Subscription Access |
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