Stationary vine copula models for multivariate time series
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DOI: 10.1016/j.jeconom.2021.11.015
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Cited by:
- Bladt Martin & McNeil Alexander J., 2022. "Time series with infinite-order partial copula dependence," Dependence Modeling, De Gruyter, vol. 10(1), pages 87-107, January.
- Roberto Fuentes M. & Irene Crimaldi & Armando Rungi, 2024. "Non-linear dependence and Granger causality: A vine copula approach," Papers 2409.15070, arXiv.org.
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Keywords
Pair-copula; Dependence; Bootstrap; Forecasting; Markov chain; Sequential maximum likelihood;All these keywords.
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