Modelling dependence in cointegrated data Copula-based cointegrated vector autoregressive models
The copula method is well applied in finance and actuarial science but its application in economic studies is limited and its use in the cointegration framework virtually nil. This paper explores the use of copula method to analyze the remaining dependence after a cointegration relationship is model...
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| Format: | Book |
| Language: | English |
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Quezon City
University of the Philippines
c2008.
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