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Brechmann, Eike Christian; Czado, Claudia

COPAR – multivariate time series modeling using the copula autoregressive model. (English) Zbl 07883170

Appl. Stoch. Models Bus. Ind. 31, No. 4, 495-514 (2015).

Cited in 9 Documents

MSC:

62-XX Statistics

Keywords:

multivariate time series; copula autoregression; vector autoregression; forecasting time series; vine copula
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References:

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