Evaluating the Predictive Abilities of Semiparametric Multivariate Models
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References listed on IDEAS
- Christopher A. Sims & Tao Zha, 1999.
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More about this item
Keywordsrisk management; copula; correlation; multivariate time series; nonparametric conditional distribution;
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
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