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Copula Methods for Forecasting Multivariate Time Series

In: Handbook of Economic Forecasting

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  • Patton, Andrew

Abstract

Copula-based models provide a great deal of flexibility in modeling multivariate distributions, allowing the researcher to specify the models for the marginal distributions separately from the dependence structure (copula) that links them to form a joint distribution. In addition to flexibility, this often also facilitates estimation of the model in stages, reducing the computational burden. This chapter reviews the growing literature on copula-based models for economic and financial time series data, and discusses in detail methods for estimation, inference, goodness-of-fit testing, and model selection that are useful when working with these models. A representative data set of two daily equity index returns is used to illustrate all of the main results.

Suggested Citation

  • Patton, Andrew, 2013. "Copula Methods for Forecasting Multivariate Time Series," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 899-960, Elsevier.
  • Handle: RePEc:eee:ecofch:2-899
    DOI: 10.1016/B978-0-444-62731-5.00016-6
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