Nonparameteric forecasting of multivariate probability density functions
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References listed on IDEAS
- van den Goorbergh, Rob W.J. & Genest, Christian & Werker, Bas J.M., 2005. "Bivariate option pricing using dynamic copula models," Insurance: Mathematics and Economics, Elsevier, vol. 37(1), pages 101-114, August.
- Allan Timmermann & Massimo Guidolin, 2006.
"An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns,"
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- Massimo Guidolin & Allan Timmerman, 2005. "An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns," Working Papers 2005-003, Federal Reserve Bank of St. Louis.
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More about this item
Keywordsmultivariate densities; functional PCA; nonparametric statistics; copula; functional time series; forecast; unbounded support;
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
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