A Copula-VAR-X Approach for Industrial Production Modelling and Forecasting

Arbeitspapier

World economies, and especially European ones, have become strongly interconnected in the last decades and a joint modelling is required. We propose here the use of Copulas to build flexible multivariate distributions, since they allow for a rich dependence structure and more flexible marginal distributions that better fit the features of empirical data, such as leptokurtosis. We use our approach to forecast industrial production series in the core EMU countries and we provide evidence that the copula-VAR model outperforms or at worst compares similarly to normal VAR models, keeping the same computational tractability of the latter approach.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Quaderni di Dipartimento ; No. 105

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Estimation: General ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Model Construction and Estimation ; Forecasting Models; Simulation Methods
• Thema: Forecasting ; Industrial Production ; Copulas ; VAR models

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Bianchi, Carluccio ; Carta, Alessandro ; Fantazzini, Dean ; De Giuli, Maria Elena ; Maggi, Mario A.
• Ereignis: Veröffentlichung
• (wer): Università degli Studi di Pavia, Dipartimento di Economia Politica e Metodi Quantitativi (EPMQ)
• (wo): Pavia
• (wann): 2009

Weitere Informationen

• Handle: http://hdl.handle.net/10419/95257
• Letzte Aktualisierung: 10.03.2025, 11:42 MEZ