Multivariate autoregressive modeling of time series count data using copulas

Andréas Heinen; Erick Rengifo

doi:10.1016/j.jempfin.2006.07.004

Journal Articles Journal of Empirical Finance Year : 2007

Multivariate autoregressive modeling of time series count data using copulas

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Andréas Heinen

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PersonId : 754749
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Théorie économique, modélisation et applications

Erick Rengifo

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Fordham University [New York]

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Humanities and Social Sciences

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https://hal-cyu.archives-ouvertes.fr/hal-03677681

Submitted on : Tuesday, May 24, 2022-7:00:00 PM

Last modification on : Friday, March 24, 2023-2:53:27 PM

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hal-03677681 , version 1 (24-05-2022)

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HAL Id : hal-03677681 , version 1
DOI : 10.1016/j.jempfin.2006.07.004

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Andréas Heinen, Erick Rengifo. Multivariate autoregressive modeling of time series count data using copulas. Journal of Empirical Finance, 2007, 14 (4), pp.564-583. ⟨10.1016/j.jempfin.2006.07.004⟩. ⟨hal-03677681⟩

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Multivariate autoregressive modeling of time series count data using copulas

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