On the Predictive Content of Autoregression Residuals: A Semiparametric, Copula‐Based Approach to Time Series Prediction

DOI10.1002/for.2241zbMath1397.62309OpenAlexW1916980924MaRDI QIDQ4687329

Helmut Herwartz

Publication date: 11 October 2018

Published in: Journal of Forecasting (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/for.2241

zbMATH Keywords

model selectioncopula distributionslinear autoregressive conditional meannon Gaussian residuals

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

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Risk forecasting in (T)GARCH models with uncorrelated dependent innovations

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